Unified Numerical Method for Stochastic Differential Equations with Poisson and Gaussian White Noises

A method is developed for integrating stochastic differential equations (SDEs) with Poisson (PWN) and Gaussian (GWN) white noises interpreted as the formal derivatives of the compound Poisson and Brownian motion processes. In contrast to the current integration schemes, which solve discrete time ver...

ver descrição completa

Detalhes bibliográficos

Autor principal:	Mircea D. Grigoriu
Formato:	Artigo
Idioma:	Inglês
Publicado em:	MDPI AG 2026-04-01
coleção:	Stats
Assuntos:	finite dimensional models Gaussian and Poisson white noise numerical integration random process stochastic differential equations
Acesso em linha:	https://www.mdpi.com/2571-905X/9/3/47
Tags:	Adicionar Tag Sem tags, seja o primeiro a adicionar uma tag!