Results 121 to 130 of about 58,739 (167)

Stochastic diffusion using mean-field limits to approximate master equations. [PDF]

open access: yesR Soc Open Sci
Hébert-Dufresne L   +7 more
europepmc   +1 more source

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
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Stochastic evolution equations

Journal of Soviet Mathematics, 1981
The theory of strong solutions of Ito equations in Banach spaces is expounded. The results of this theory are applied to the investigation of strongly parabolic Ito partial differential equations.
Krylov, N. V., Rozovskij, B. L.
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On stochastic diffusion equations and stochastic Burgers’ equations

Journal of Mathematical Physics, 1996
In this paper we construct a strong solution for the stochastic Hamilton Jacobi equation by using stochastic classical mechanics before the caustics. We thereby obtain the viscosity solution for a certain class of inviscid stochastic Burgers’ equations.
Truman, A., Zhao, H. Z.
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Indefinite Stochastic Riccati Equations

SIAM Journal on Control and Optimization, 2003
For some cases where \(R\), \(Q\), and \(H\) can be indefinite, theorems are proved which establish the existence of a unique bounded solution of the matrix stochastic Riccati equation (which arises in stochastic control) \[ \begin{aligned} dP= & \Biggl\{PA+ A'P+ \sum^k_{j=1} (\Lambda_j C_j+ C_j'\Lambda_j+ C_j' PC_j)+ Q\\ & -\Biggl[PB+ \sum^k_{j=1 ...
Hu, Ying, Zhou, Xun Yu
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Stochastic Liouville Equations

Journal of Mathematical Physics, 1963
When a dynamical system has a perturbation which is considered as a stochastic process, the Liouville equation for the system in the phase space or the space of quantum-mechanical density operators is a sort of stochastic equation. The ensemble average of its formal integral defines the relaxation operator Φ(t) of the system.
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