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Least square method based on Haar wavelet to solve multi-dimensional stochastic Itô-Volterra integral equations
This paper proposes a method combining blue the Haar wavelet and the least square to solve the multi-dimensional stochastic Itô-Volterra integral...
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Uniqueness Problem for the Backward Differential Equation of a Continuous-State Branching Process
The distributional properties of a multi-dimensional continuous-state branching process are determined by its cumulant semigroup, which is defined by...
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A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory*
In this paper, we first establish a Kesten-type inequality for randomly weighted sums, in which the primary random variables are assumed to be...
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Numerical solution of stochastic Itô-Volterra integral equations based on Bernstein multi-scaling polynomials
In this paper, first, Bernstein multi-scaling polynomials (BMSPs) and their properties are introduced. These polynomials are obtained by compressing...
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Singular Control of Stochastic Volterra Integral Equations
This paper deals with optimal combined singular and regular controls for stochastic Volterra integral equations, where the solution X u,ξ ( t ) = X ( t ) is...
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Mean-Field Backward Stochastic Differential Equations Driven by Fractional Brownian Motion
In this paper, we study a new class of equations called mean-field backward stochastic differential equations (BSDEs, for short) driven by fractional...
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Stochastic Integral Evolution Equations with Locally Monotone and Non-Lipschitz Coefficients
In this work the existence and uniqueness of strong solutions are established for a class of stochastic integral evolution equations with locally...
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Itô Differential Representation of Singular Stochastic Volterra Integral Equations
In this paper we obtain an Itô differential representation for a class of singular stochastic Volterra integral equations. As an application, we...
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Asymptotic Behavior for Multi-scale SDEs with Monotonicity Coefficients Driven by Lévy Processes
In this paper, we study the asymptotic behavior for multi-scale stochastic differential equations driven by Lévy processes. The optimal strong...
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Moments of Continuous-state Branching Processes with or Without Immigration
For a positive continuous function f satisfying some standard conditions, we study the f -moments of continuous-state branching processes with or...
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Continuous Time Mixed State Branching Processes and Stochastic Equations
A continuous time and mixed state branching process is constructed by a scaling limit theorem of two-type Galton-Watson processes. The process can...
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Lévy-driven stochastic Volterra integral equations with doubly singular kernels: existence, uniqueness, and a fast EM method
This paper considers Lévy noise driven nonlinear stochastic Volterra integral equations with doubly weakly singular kernels, whose singular points...
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Moments of Continuous-State Branching Processes in Lévy Random Environments
For continuous-state branching processes in Lévy random environments, the recursion of n -moments and the equivalent condition for the existence of...
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Numerical Solution Based on Hat Functions for Solving Nonlinear Stochastic Itô Volterra Integral Equations Driven by Fractional Brownian Motion
This paper presents a numerical method for solving nonlinear stochastic Itô Volterra integral equations driven by fractional Brownian motion with...
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On solutions set of a multivalued stochastic differential equation
We analyse multivalued stochastic differential equations driven by semimartingales. Such equations are understood as the corresponding multivalued...
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Regularity of stochastic Volterra equations by functional calculus methods
We establish pathwise continuity properties of solutions to a stochastic Volterra equation with an additive noise term given by a local martingale....
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Application of operational matrices to numerical solution of stochastic SIR model
The goal of this paper is to give useful method for solving a problem in biologic system that is formulated by stochastic Volterra integral...
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Second Kind Chebyshev Wavelet Galerkin Method for Stochastic Itô-Volterra Integral Equations
In this paper, an efficient wavelet Galerkin method based on the stochastic operational matrix of second kind Chebyshev wavelet is proposed for...
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A Class of Lévy Driven SDEs and their Explicit Invariant Measures
We describe a class of explicit invariant measures for stochastic differential equations driven by Lévy noise. We relate them to the corresponding...
