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stochastic differential equations

Stability of the Stochastic Differential Equations

Stability of the Stochastic Differential Equations

... of stochastic differential equations (SDEs) has become a very popular theme of recent research in mathematics and its ...concrete stochastic dynamical systems, conditions of existence the ...

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Stochastic differential equations and integrating factor

Stochastic differential equations and integrating factor

... The aim of this paper is the analytical solutions the family of first-order nonlinear stochastic differ- ential equations. We define an integrating factor for the large class of special nonlinear ...

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Stochastic control representations for penalized backward stochastic differential equations

Stochastic control representations for penalized backward stochastic differential equations

... BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS GECHUN LIANG † ...backward stochastic differential equation (BSDE), which is often used to approximate and solve the corresponding reflected ...

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Malliavin calculus for backward stochastic differential equations and stochastic differential equations driven by fractional Brownian motion and numerical schemes

Malliavin calculus for backward stochastic differential equations and stochastic differential equations driven by fractional Brownian motion and numerical schemes

... of stochastic differential equations (SDEs, for short) driven by Brownian motion is essentially based on the method of time discretization and has a long ...

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Stability of stochastic differential equations in infinite dimensions

Stability of stochastic differential equations in infinite dimensions

... to stochastic differential equations with Markovian ...of stochastic differential equations has always lain at the center of our understanding concerning stochastic models ...

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Stochastic differential equations in a scale of Hilbert spaces

Stochastic differential equations in a scale of Hilbert spaces

... The aim of the present work is to extend Ovsyannikov’s method to the case of stochastic differential equations. We require the drift f to be a map from X α to X β for any α < β and satisfy a ...

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Multidimensional stochastic differential equations with distributional drift

Multidimensional stochastic differential equations with distributional drift

... MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS WITH DISTRIBUTIONAL DRIFT FRANCO FLANDOLI 1 , ELENA ISSOGLIO 2 , AND FRANCESCO RUSSO 3 ...multidimensional stochastic differential ...

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Recursive Bayesian inference on stochastic differential equations

Recursive Bayesian inference on stochastic differential equations

... Itô stochastic differential equations (SDE) driven by Brownian motions and the measurements are modeled as non-linear functions of the state, which are corrupted by Gaussian measurement ...driven ...

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Symmetrized solutions for nonlinear stochastic differential equations

Symmetrized solutions for nonlinear stochastic differential equations

... Solutions of nonlinear stochastic differential equations in series form can be put into convenient symmetrized forms which are easily calculable.. This paper investigates such forms for [r] ...

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Boundary value problems for stochastic differential equations

Boundary value problems for stochastic differential equations

... BOUNDARY VALUE PROBLEHS FOR STOCHASTIC DIFFERENTIAL EQUATIONS Thesis by Thomas 1 Tilliam HacDm rell In Partial Fulfillment of the Requirements For the Degree of Doctor of Philosophy California Institu[.] ...

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Backward stochastic differential equations with Young drift

Backward stochastic differential equations with Young drift

... backward stochastic differential equations containing an additional drift driven by a path of finite q-variation with q ∈ [ 1 , 2 ) ...partial differential equations via a Feynman–Kac ...

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Path Integral Methods for Stochastic Differential Equations

Path Integral Methods for Stochastic Differential Equations

... Abstract Stochastic differential equations (SDEs) have multiple applications in mathematical neuroscience and are notoriously difficult. Here, we give a self- contained pedagogical review of ...

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Stochastic Differential Equations and Strict Local Martingales

Stochastic Differential Equations and Strict Local Martingales

... solving stochastic differential equations (SDEs), it is usually assumed that the coefficients are globally ...of stochastic differential ...

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Backward stochastic differential equations with an unbounded generator

Backward stochastic differential equations with an unbounded generator

... these equations is not only theoretical, but is also motivated by applications in mathematical ...by stochastic differential equations (see, for example, [44], [11], ...

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On the dynamics of marcus type stochastic differential equations

On the dynamics of marcus type stochastic differential equations

... However, there are processes we can discover in real life, which are not continuous in time. As an example we can look at stock prices or discretised processes to a dense grid. To cover these types of processes, we have ...

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Estimation  for stochastic differential equations with mixed effects.

Estimation for stochastic differential equations with mixed effects.

... Stochastic differential equations constitute a well-established tool for modelling physical phe- nomena whose dynamics are affected by random ...(2007)). Stochastic differential ...

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Switching Game of Backward Stochastic Differential Equations and Associated System of Obliquely Reflected Backward Stochastic Differential Equations

Switching Game of Backward Stochastic Differential Equations and Associated System of Obliquely Reflected Backward Stochastic Differential Equations

... This paper is concerned with the switching game of a one-dimensional backward stochastic differential equation (BSDE). The associated Bellman-Isaacs equation is a system of matrix-valued BSDEs living in a ...

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Discontinuous Quantum Stochastic Differential Equations and The Associated Kurzweil Equations

Discontinuous Quantum Stochastic Differential Equations and The Associated Kurzweil Equations

... Measure differential systems have been investigated by many authors [2-9, 11, ...measure differential equations is the description of systems exhibiting discontinuous solutions caused by the ...

7

AN INTRODUCTION TO STOCHASTIC DIFFERENTIAL EQUATIONS VERSION 1.2

AN INTRODUCTION TO STOCHASTIC DIFFERENTIAL EQUATIONS VERSION 1.2

... Chapter 2: A crash course in basic probability theory Chapter 3: Brownian motion and “white noise” Chapter 4: Stochastic integrals, Itˆ o’s formula Chapter 5: Stochastic differential equa[r] ...

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Introduction to Stochastic Differential Equations (SDEs) for Finance

Introduction to Stochastic Differential Equations (SDEs) for Finance

... 3 The Black-Scholes Theory This section builds a pricing theory around the assumptions of no-arbitrage with perfect liquidity and trades occurring in continuous time. The Black-Scholes model is a complete market, and ...

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