Stochastic differential equations (3rd ed.): an introduction with applications

A learning theorem for networks at detailed stochastic equilibrium

Neural Computation

Noise analysis of non-autonomous radio frequency circuits

ICCAD '99 Proceedings of the 1999 IEEE/ACM international conference on Computer-aided design

On the dependence structure of certain multi-dimensional Ito processes and corresponding hitting times

Journal of Multivariate Analysis

Adaptive schemes for the numerical solution of SDEs: a comparison

Journal of Computational and Applied Mathematics

Symbolic Itô calculus in AXIOM: An ongoing story

Statistics and Computing

Option pricing under model and parameter uncertainty using predictive densities

Statistics and Computing

Noise analysis of phase-locked loops

Proceedings of the 2000 IEEE/ACM international conference on Computer-aided design

A Monte Carlo EM Approach for partially observable diffusion processes: theory and applications to neural networks

Neural Computation

Dynamic Noise Annealing for Learning Temporal Sequences with Recurrent Neural Networks

ICANN '02 Proceedings of the International Conference on Artificial Neural Networks

Design of Problem-Solving Environment for Contingent Claim Valuation

Euro-Par '01 Proceedings of the 7th International Euro-Par Conference Manchester on Parallel Processing

Towars a Theory of Stochastic Hybrid Systems

HSCC '00 Proceedings of the Third International Workshop on Hybrid Systems: Computation and Control

Variance reduction for simulated diffusions using control variates extracted from state space evaluations

Applied Numerical Mathematics

Sketches with Curvature: The Curve Indicator Random Field and Markov Processes

IEEE Transactions on Pattern Analysis and Machine Intelligence

Fourier-Legendre approximation of a probability density from discrete data

Journal of Computational and Applied Mathematics

Smart Nonlinear Diffusion: A Probabilistic Approach

IEEE Transactions on Pattern Analysis and Machine Intelligence

An adaptive timestepping algorithm for stochastic differential equations

Journal of Computational and Applied Mathematics

Asset Price Anomalies under Bounded Rationality

Computational Economics

OPTIMAL EXIT FROM A PROJECT WITH NOISY RETURNS

Probability in the Engineering and Informational Sciences

Optimal Exit From A Deteriorating Project With Noisy Returns

Probability in the Engineering and Informational Sciences

Performance Variability and Project Dynamics

Computational & Mathematical Organization Theory

Computer-aided on-line development and derivation of the motion equation of space module

Automation and Remote Control

How Online Learning Approaches Ornstein Uhlenbeck Processes

Neural Processing Letters

The Effect of Sea Irregularities on Ship Rolling

Computing in Science and Engineering

Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model

International Journal of Systems Science

An examination of forward volatility

WSC '04 Proceedings of the 36th conference on Winter simulation

Covariance kernel representations of multidimensional second-order stochastic processes

Journal of Computational Physics - Special issue: Uncertainty quantification in simulation science

Stochastic analysis of transport in tubes with rough walls

Journal of Computational Physics - Special issue: Uncertainty quantification in simulation science

Monte Carlo simulation of killed diffusions with a single barrier

valuetools '06 Proceedings of the 1st international conference on Performance evaluation methodolgies and tools

Brief paper: Stochastic H2/H∞ control for discrete-time systems with state and disturbance dependent noise

Automatica (Journal of IFAC)

Optimization of the quantile function on the basis of kernel estimates

Automation and Remote Control

Representation theorems, set-valued and fuzzy set-valued Ito integral

Fuzzy Sets and Systems

A stochastic immersed boundary method for fluid-structure dynamics at microscopic length scales

Journal of Computational Physics

The pricing of options for securities markets with delayed response

Mathematics and Computers in Simulation

Fuzzy set-valued Gaussian processes and Brownian motions

Information Sciences: an International Journal

CATS benchmark time series prediction by Kalman smoother with cross-validated noise density

Neurocomputing

Instantaneous frequency estimation using stochastic calculus and bootstrapping

EURASIP Journal on Applied Signal Processing

Stochastic power control for time-varying long-term fading wireless networks

EURASIP Journal on Applied Signal Processing

Particle filtering applied to musical tempo tracking

EURASIP Journal on Applied Signal Processing

Bayesian inference for nonlinear multivariate diffusion models observed with error

Computational Statistics & Data Analysis

Continuity relations for random transients in electrical circuits

ICC'07 Proceedings of the 11th Conference on Proceedings of the 11th WSEAS International Conference on Circuits - Volume 11

A Variational Technique for Time Consistent Tracking of Curves and Motion

Journal of Mathematical Imaging and Vision

Strong regularities in online peer production

Proceedings of the 9th ACM conference on Electronic commerce

Kernels, regularization and differential equations

Pattern Recognition

The Flexible, Extensible and Efficient Toolbox of Level Set Methods

Journal of Scientific Computing

Contrastive divergence in gaussian diffusions

Neural Computation

Statistical moments of the random linear transport equation

Journal of Computational Physics

Low-storage Runge--Kutta methods for stochastic differential equations

Applied Numerical Mathematics

Adaptive chaos synchronization in Chua's systems with noisy parameters

Mathematics and Computers in Simulation

Error analysis of a stochastic immersed boundary method incorporating thermal fluctuations

Mathematics and Computers in Simulation

Statistical moments of the solution of the random Burgers-Riemann problem

Mathematics and Computers in Simulation

A unified treatment of deterministic and random transients in electrical circuits

WSEAS Transactions on Circuits and Systems

Control of stochastic chaos using sliding mode method

Journal of Computational and Applied Mathematics

New delay-dependent L2-L∞ filter design for stochastic time-delay systems

Signal Processing

An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations

Journal of Computational Physics

A separation theorem for nonlinear systems

Automatica (Journal of IFAC)

Brief paper: H∞ functional filtering for stochastic bilinear systems with multiplicative noises

Automatica (Journal of IFAC)

Linear Bellman combination for control of character animation

ACM SIGGRAPH 2009 papers

Quantum Calculus (q-Calculus) and Option Pricing: A Brief Introduction

QI '09 Proceedings of the 3rd International Symposium on Quantum Interaction

Mean-field approximations for coupled populations of generalized linear model spiking neurons with markov refractoriness

Neural Computation

Stochastic algorithms for robustness of control performances

Automatica (Journal of IFAC)

Double barrier option under regime-switching exponential mean-reverting process

International Journal of Computer Mathematics - SPECIAL ISSUE ON FINANCIAL DERIVATIVES

Modeling volatility in prediction markets

Proceedings of the 10th ACM conference on Electronic commerce

The differential equation counterpart of an individual-based model for yeast population growth

Computers & Mathematics with Applications

Dynamical analysis of bayesian inference models for the eriksen task

Neural Computation

Continuous-time and continuous-discrete-time unscented Rauch-Tung-Striebel smoothers

Signal Processing

Convergence analysis of a global optimization algorithm using stochastic differential equations

Journal of Global Optimization

Graphical model inference in optimal control of stochastic multi-agent systems

Journal of Artificial Intelligence Research

An economic application on the ItΔ lemma

SMO'09 Proceedings of the 9th WSEAS international conference on Simulation, modelling and optimization

Stochastically scalable flow control

Probability in the Engineering and Informational Sciences

Data-parallel algorithms for agent-based model simulation of tuberculosis on graphics processing units

SpringSim '09 Proceedings of the 2009 Spring Simulation Multiconference

Robust H2/H∞ global linearization filter design for nonlinear stochastic systems

IEEE Transactions on Circuits and Systems Part I: Regular Papers

Multi-element probabilistic collocation method in high dimensions

Journal of Computational Physics

Decentralized adaptive tracking of stochastic nonlinear interconnected systems by state feedback

CCDC'09 Proceedings of the 21st annual international conference on Chinese control and decision conference

Data-parallel algorithms for large-scale real-time simulation of the cellular Potts model on graphics processing units

SMC'09 Proceedings of the 2009 IEEE international conference on Systems, Man and Cybernetics

An adaptive high-dimensional stochastic model representation technique for the solution of stochastic partial differential equations

Journal of Computational Physics

Measuring reliability growth of software by considering fault dependency, debugging time Lag functions and irregular fluctuation

ACM SIGSOFT Software Engineering Notes

A variational framework for spatio-temporal smoothing of fluid motions

SSVM'07 Proceedings of the 1st international conference on Scale space and variational methods in computer vision

Invest or Exit? Optimal Decisions in the Face of a Declining Profit Stream

Operations Research

Uncertainty quantification via random domain decomposition and probabilistic collocation on sparse grids

Journal of Computational Physics

Formal verification of analog circuits in the presence of noise and process variation

Proceedings of the Conference on Design, Automation and Test in Europe

Mean square exponential stability of stochastic genetic regulatory networks with time-varying delays

Information Sciences: an International Journal

Stochastic Eulerian Lagrangian methods for fluid-structure interactions with thermal fluctuations

Journal of Computational Physics

Stochastic delay Lotka-Volterra system to interacting population dynamics

ASM'11 Proceedings of the 5th international conference on Applied mathematics, simulation, modelling

Data-driven trajectory smoothing

Proceedings of the 19th ACM SIGSPATIAL International Conference on Advances in Geographic Information Systems

Approximate abstraction of stochastic hybrid automata

HSCC'06 Proceedings of the 9th international conference on Hybrid Systems: computation and control

A numerical method for solving m-dimensional stochastic Itô-Volterra integral equations by stochastic operational matrix

Computers & Mathematics with Applications

Stochastic models for local optical flow estimation

SSVM'11 Proceedings of the Third international conference on Scale Space and Variational Methods in Computer Vision

Multiscale weighted ensemble kalman filter for fluid flow estimation

SSVM'11 Proceedings of the Third international conference on Scale Space and Variational Methods in Computer Vision

Random coefficient differential equation models for bacterial growth

Mathematical and Computer Modelling: An International Journal

Adaptive stochastic numerical scheme in parallel random walk models for transport problems in shallow water

Mathematical and Computer Modelling: An International Journal

Numerical solution of stochastic differential equations by second order Runge-Kutta methods

Mathematical and Computer Modelling: An International Journal

Numerical approach for solving stochastic Volterra-Fredholm integral equations by stochastic operational matrix

Computers & Mathematics with Applications