Results 281 to 290 of about 561,284 (332)

Stochastic Differential Equations

The Control Systems Handbook, 2018
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Stochastic differential equations

Physics Reports, 1976
Abstract In chapter I stochastic differential equations are defined and classified, and their occurrence in physics is reviewed. In chapter II it is shown for linear equation show a differential equation for the averaged solution is obtained by expanding in ατ c , where α measures the size of the fluctuations and τ c their autocorrelation time. This
openaire   +3 more sources

Stochastic Differential Equations With Markovian Switching

, 2006
This textbook provides the first systematic presentation of the theory of stochastic differential equations with Markovian switching. It presents the basic principles at an introductory level but emphasizes current advanced level research trends.
X. Mao, C. Yuan
semanticscholar   +1 more source

Stochastic Differential Equations

1991
In previous chapters stochastic differential equations have been mentioned several times in an informal manner. For instance, if M is a continuous local martingale, its exponential e(M) satisfies the equality $$\mathcal{E}{(M)_t} = 1 + \int_0^t {\mathcal{E}{{(M)}_s}} d{M_s};$$ this can be stated: e(M) is a solution to the stochastic differential
Daniel Revuz, Marc Yor
openaire   +2 more sources

Stochastic Differential Equations

2019
In this chapter, we consider the stochastic differential equations and backward stochastic differential equations driven by G-Brownian motion. The conditions and proofs of existence and uniqueness of a stochastic differential equation is similar to the classical situation.
Radek Erban, S. Jonathan Chapman
  +6 more sources

Stochastic differential equations

2011
In this chapter we present some basic results on stochastic differential equations, hereafter shortened to SDEs, and we examine the connection to the theory of parabolic partial differential equations.
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Computational scheme for solving nonlinear fractional stochastic differential equations with delay

Stochastic Analysis and Applications, 2019
This paper studies the numerical solution of fractional stochastic delay differential equations driven by Brownian motion. The proposed algorithm is based on linear B-spline interpolation.
Behrouz Parsa Moghaddam, A. Mendes Lopes, J. T. Tenreiro Machado, Z. S. Mostaghim   +3 more
semanticscholar   +1 more source

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

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

pth moment exponential stabilisation of hybrid stochastic differential equations by feedback controls based on discrete-time state observations with a time delay

, 2017
The authors are concerned with the stability of hybrid stochastic differential equations by feedback controls based on discrete-time state observations.
Quanxin Zhu, Qiuyan Zhang
semanticscholar   +1 more source