Results 291 to 300 of about 561,284 (332)

A Hitch-hiker’s Guide to Stochastic Differential Equations

, 2017
In this review, an overview of the recent history of stochastic differential equations (SDEs) in application to particle transport problems in space physics and astrophysics is given. The aim is to present a helpful working guide to the literature and at
R. D. Strauss, F. Effenberger
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

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

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
openaire   +2 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

Mathematical Control Theory for Stochastic Partial Differential Equations

Probability Theory and Stochastic Modelling, 2021
Qi Lü, Xu Zhang
semanticscholar   +1 more source

Stochastic Differential Equations

1984
This 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 ...
openaire   +2 more sources

Numerical Solution of Stochastic Differential Equations

, 1992
P. Kloeden, E. Platen
semanticscholar   +1 more source

Stochastic integration and differential equations

, 1990
P. Protter
semanticscholar   +1 more source

Backward Stochastic Differential Equations in Finance

, 1997
N. Karoui, S. Peng, M. Quenez
semanticscholar   +1 more source