3 citations · 3 across the 2 of their papers we have counts for
2 papers
math.OC2019
Advances in Stabilisation of Hybrid Stochastic Differential Equations by Delay Feedback Control
Junhao Hu, Wei Liu, Feiqi Deng +1
A novel approach to design the feedback control based on past states is proposed for hybrid stochastic differential equations (HSDEs). This new theorem builds up the connection bet…
math.NA2012★ 3 cited
Convergence, Non-negativity and Stability of a New Milstein Scheme with Applications to Finance
Desmond J. Higham, Xuerong Mao, Lukasz Szpruch
We propose and analyse a new Milstein type scheme for simulating stochastic differential equations (SDEs) with highly nonlinear coefficients. Our work is motivated by the need to j…