Results 311 to 320 of about 836,551 (359)

Stochastic Integrals and Differential Equations

2004
This chapter provides the tools needed for option pricing. The field of stochastic processes in continuous time, which are defined as solutions of stochastic differential equations, has an important role to play. To illustrate these notions we use repeated approximations by stochastic processes in discrete time and refer to the results from Chapter 4.
Wolfgang Karl Härdle, Wolfgang Karl Härdle, Christian M. Hafner, Jürgen Franke   +3 more
openaire   +2 more sources

A Stochastic Differential Equation Model for the Height Growth of Forest Stands

, 1983
SUMMARY A brief review of the uses and methods of height-growth prediction in forestry is given in ?2. In ?3 the proposed growth model is presented; it consists of a stochastic differential equation related to the Bertalanffy-Richards growth model, and a
Oscar García
semanticscholar   +1 more source

Stochastic Differential Equations

2016
This chapter is devoted to stochastic differential equations, which motivated Ito’s construction of stochastic integrals. After giving the general definitions, we provide a detailed treatment of the Lipschitz case, where strong existence and uniqueness statements hold.
Setsuo Taniguchi, Hiroyuki Matsumoto
  +7 more sources

A stochastic differential equation model of diurnal cortisol patterns.

American Journal of Physiology. Endocrinology and Metabolism, 2001
Circadian modulation of episodic bursts is recognized as the normal physiological pattern of diurnal variation in plasma cortisol levels. The primary physiological factors underlying these diurnal patterns are the ultradian timing of secretory events ...
Emery N. Brown, Patricia M. Meehan, A. Dempster   +2 more
semanticscholar   +1 more source

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
openaire   +2 more sources

Langevins stochastic differential equation extended by a time-delayed term

, 1992
The stochastic differential equation is a generalization of Lange-vin's equation, which is obtained if b = 0.
U. Küchler, B. Mensch
semanticscholar   +1 more source

Backward stochastic differential equation with local time

, 1999
In this paper we deal with the following backward stochastic differential equation: where W is a d-dimensional Brownian motion is the symmetric local time of Fat the level a, v is a signed measure on is a -measurable random variable in and is an adapted ...
A. Dermoune, S. Hamadène, Y. Ouknine
semanticscholar   +1 more source

Stochastic Differential Equation

Monographs in Mathematical Economics, 2020
S. Kusuoka
semanticscholar   +1 more source

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.
openaire   +4 more sources

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.
openaire   +2 more sources