Results 271 to 280 of about 43,061 (301)

Stochastic Differential Equations

2006
Stochastic differential equations provide a powerful mathematical framework for the continuous time modeling of asset prices and general financial markets. We consider both scalar and vector stochastic differential equations which allow us to model feedback effects in the market. Explicit solutions will be given in certain cases. Furthermore, questions
Eckhard Platen, David Heath
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Stochastic Differential Equations

1997
Starting with coefficients a(t, x) = ((a ij (t, x)))1≤i, j≤d and b(t, x) = (b i (t,x))1≤i≤d, we saw in Chapter 3 how the associated parabolic equation $$ \frac{{\partial u}} {{\partial t}} + L_t u = 0 $$ (0.1) can be a source of a transition probability function on which to base a continuous Markov process.
Srinivasa R. S. Varadhan, Daniel W. Stroock   +1 more
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Stochastic differential equations

2008
Elementary concepts of stochastic differential equations (SDE) and algorithms for their numerical solution are reviewed and illustrated by the physical problems of Brownian motion (ordinary SDE) and surface growth (partial SDE). Discretization schemes, systematic errors and instabilities are discussed.
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Stochastic Differential Equations

2017
In this chapter we establish the well-posedness and a priori estimates for SDEs. Weak solutions of SDEs will also be studied briefly.
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Stochastic Differential Equations

1987
In this paragraph we shall consider (real) random processes ξ(t), t ≥ t0, characterized by the stochastic differential $$ \begin{array}{*{20}{c}} {d\xi \left( t \right) = \infty \left( t \right)dt + \beta \left( t \right)d\eta \left( t \right),}\\ {\alpha \left( t \right) = a\left( {t\xi \left( t \right)} \right),\beta \left( t \right) = b\left( {t\
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Stochastic Differential Equations

2001
Virtually all continuous stochastic processes of importance in applications satisfy an equation of the form $$d{X_t} = \mu (t,{X_t})dt + \sigma (t,{X_t})d{B_t}with\;{X_0} = {x_0}$$ (9.1) .
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Stochastic Differential Equation

2020
The definition of stochastic differential equations is not unique, since many kinds of definitions are used for each application. In this book we consider Markov type stochastic differential equations only.
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On stochastic differential equations

Memoirs of the American Mathematical Society, 1951
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A stochastic agent-based model of the SARS-CoV-2 epidemic in France

Nature Medicine, 2020
Nicolas Hoertel, Carlos Blanco, Frédéric Limosin   +2 more
exaly  

Stochastic Differential Equations

SSRN Electronic Journal, 2015
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