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Governing equations for probability densities of Marcus stochastic differential equations with Lévy noise
9 references·0 citing·30 second hop
Governing equations for probability densities of Marcus stochastic differential equations with Lévy noise (2016)Governing equations for probability densi…Introduction to Stochastic Dynamics (2015)Introduction to Stochastic Dy…Lévy Processes and Stochastic Calculus (2009)Lévy Processes and Stochastic…Introduction to Stochastic Calculus with Applications (2005)Introduction to Stochastic Ca…Stochastic Differential Equations (2003)Stochastic Differential Equat…Ito and Stratonovich integrals for delta-correlated processes (1993)Ito and Stratonovich integral…Malliavin calculus for processes with jumps (1991)Malliavin calculus for proces…Modeling and approximation of stochastic differential equations driven by semimartingales† (1981)Modeling and approximation of…Modeling and analysis of stochastic differential equations driven by point processes (1978)Modeling and analysis of stoc…Probabilistic Structural Dynamics: Advanced Theory and Applications (1967)Probabilistic Structural Dyna…On the relation between ordinary and stochastic differential equations (1965)Stochastic Differential Equations (1972)On Wong-Zakai approximation of stochastic differential equations (1983)Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations (1991)Stochastic Differential Equations (2006)General rough integration, Lévy rough paths and a Lévy–Kintchine-type formula (2017)On a Formula Concerning Stochastic Differentials (1951)A New Representation for Stochastic Integrals and Equations (1966)Monte Carlo simulation in the stochastic analysis of non-linear systems under external stationary Poisson white noise input (2003)New partial differential equations governing the joint, response–excitation, probability distributions of nonlinear systems, under general stochastic excitation (2008)Marcus versus Stratonovich for systems with jump noise (2014)On the existence of smooth densities for jump processes (1996)White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance (2000)Discrete-time approximation of decoupled Forward–Backward SDE with jumps (2007)Dimension-reduced FPK equation for additive white-noise excited nonlinear structures (2018)Stochastic averaging principles for multi-valued stochastic differential equations driven by poisson point Processes (2018)Neural network stochastic differential equation models with applications to financial data forecasting (2022)Jump-Diffusion Approximations for Ordinary Differential Equations with Wide-Band Random Right Hand Sides (1979)A review on stochastic differential equations for applications in hydrology (1987)Asymptotic Stability of Stochastic Differential Equations Driven by Lévy Noise (2009)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Regularly varying measures on metric spaces: Hidden regular variation and hidden jumps (2014)Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model (2010)A Tractable Framework for Zero-Lower-Bound Gaussian Term Structure Models (2013)Numerical Solution of Stochastic Differential Equations (2016)The Role of Portfolio Constraints in the International Propagation of Shocks (2008)Stochastic Differential Equations (2014)Applications of Hilbert–Huang transform to non‐stationary financial time series analysis (2003)The extreme value distribution and dynamic reliability analysis of nonlinear structures with uncertain parameters (2006)The principle of preservation of probability and the generalized density evolution equation (2006)
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References

  • 2003Stochastic Differential Equations2,239 cited
  • 2009Lévy Processes and Stochastic Calculus1,524 cited
  • 1967Probabilistic Structural Dynamics: Advanced Theory and Applications629 cited
  • 2005Introduction to Stochastic Calculus with Applications573 cited
  • 1991Malliavin calculus for processes with jumps263 cited
  • 2015Introduction to Stochastic Dynamics205 cited
  • 1981Modeling and approximation of stochastic differential equations driven by semimartingales†129 cited
  • 1978Modeling and analysis of stochastic differential equations driven by point processes86 cited
  • 1993Ito and Stratonovich integrals for delta-correlated processes84 cited

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