abst05 最近の更新履歴 arscyoto

In this paper, we have investigated the parameter estimation problem for a class of linear stochastic systems called Hull-White stochastic differential equations which are

In this state space model, the stochastic system model is represented by the stochastic Equations (4) and (5) and the probability distributions given in Section (2.3); the

For instance, we have established sufficient conditions of the extinction and persistence in mean of the disease, as well as the existence of stationary distribution.. However,

We study a simple stochastic differential equation (SDE) driven by one Brownian motion on a general oriented metric graph whose solutions are stochastic flows of kernels.. Under

We then prove the con- vergence of finite dimensional distributions and tightness results in section 3 for the non-degenerate case and section 4 for the degenerate case (when the

Yin, “Markowitz’s mean-variance portfolio selection with regime switching: a continuous-time model,” SIAM Journal on Control and Optimization, vol... Li,

In this paper, for the first time an economic production quantity model for deteriorating items has been considered under inflation and time discounting over a stochastic time

Keywords: stochastic differential equation, periodic systems, Lya- punov equations, uniform exponential stability..