2 citations · 2 across the 3 of their papers we have counts for
3 papers
math.PR2023★ 2 cited
Exponential Euler method for stiff stochastic differential equations with additive fractional Brownian noise
Minoo Kamrani, Kristian Debrabant, Nahid Jamshidi
We discuss a system of stochastic differential equations with a stiff linear term and additive noise driven by fractional Brownian motions (fBms) with Hurst parameter H>1/2, which…
math.NA2023
(Empirical) Gramian-based dimension reduction for stochastic differential equations driven by fractional Brownian motion
Nahid Jamshidi, Martin Redmann
In this paper, we investigate large-scale linear systems driven by a fractional Brownian motion (fBm) with Hurst parameter . We interpret these equations either in t…
math.NA2021
Gramian-based model reduction for unstable stochastic systems
Martin Redmann, Nahid Jamshidi
This paper considers large-scale linear stochastic systems representing, e.g., spatially discretized stochastic partial differential equations. Since asymptotic stability can often…