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Stochastic Differential Equations
2006Stochastic 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
1984This is a brief introduction to Langevin equations (stochastic differential equations (SDE) with white noise terms)[1–3], with particular emphasis on its use as a calculational tool. We also discuss recently developed (matrix) continued fraction methods for solving certain types of stochastic differential equations and their associated Fokker-Planck ...
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Adapted solution of a backward stochastic differential equation
, 1990É. Pardoux, S. Peng
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Stochastic Differential Equations
1987In this paragraph we shall consider (real) random processes ξ(t), t ≥ t0, characterized by the stochastic differential $$ \begin{array}{*{20}{c}} {d\xi \left( t \right) = \infty \left( t \right)dt + \beta \left( t \right)d\eta \left( t \right),}\\ {\alpha \left( t \right) = a\left( {t\xi \left( t \right)} \right),\beta \left( t \right) = b\left( {t\
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Stochastic Differential Equations
2001Virtually all continuous stochastic processes of importance in applications satisfy an equation of the form $$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 Equations and Stochastic Flows
Stochastic Flows and Jump-Diffusions, 2019H. Kunita
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On stochastic differential equations
Memoirs of the American Mathematical Society, 1951openaire +2 more sources
Differential Privacy Techniques for Cyber Physical Systems: A Survey
IEEE Communications Surveys and Tutorials, 2020Jinjun Chen +2 more
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