Singular Stochastic Differential Equations PDF Download

Author: Alexander S. Cherny
Publisher: Springer Science & Business Media
ISBN: 9783540240075
Category : Stochastic differential equations
Languages : en
Pages : 270

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Author: Chin Ma
Publisher:
ISBN:
Category :
Languages : en
Pages : 202

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Author: Jin Ma
Publisher:
ISBN:
Category : Stochastic control theory
Languages : en
Pages : 230

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Author: Simo Särkkä
Publisher: Cambridge University Press
ISBN: 1316510085
Category : Business & Economics
Languages : en
Pages : 327

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With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.

Author: Helge Holden
Publisher: Springer Science & Business Media
ISBN: 1468492152
Category : Mathematics
Languages : en
Pages : 238

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Book Description
This book is based on research that, to a large extent, started around 1990, when a research project on fluid flow in stochastic reservoirs was initiated by a group including some of us with the support of VISTA, a research coopera tion between the Norwegian Academy of Science and Letters and Den norske stats oljeselskap A.S. (Statoil). The purpose of the project was to use stochastic partial differential equations (SPDEs) to describe the flow of fluid in a medium where some of the parameters, e.g., the permeability, were stochastic or "noisy". We soon realized that the theory of SPDEs at the time was insufficient to handle such equations. Therefore it became our aim to develop a new mathematically rigorous theory that satisfied the following conditions. 1) The theory should be physically meaningful and realistic, and the corre sponding solutions should make sense physically and should be useful in applications. 2) The theory should be general enough to handle many of the interesting SPDEs that occur in reservoir theory and related areas. 3) The theory should be strong and efficient enough to allow us to solve th,~se SPDEs explicitly, or at least provide algorithms or approximations for the solutions.

Author: Leszek Gawarecki
Publisher: Springer Science & Business Media
ISBN: 3642161944
Category : Mathematics
Languages : en
Pages : 300

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Book Description
The systematic study of existence, uniqueness, and properties of solutions to stochastic differential equations in infinite dimensions arising from practical problems characterizes this volume that is intended for graduate students and for pure and applied mathematicians, physicists, engineers, professionals working with mathematical models of finance. Major methods include compactness, coercivity, monotonicity, in a variety of set-ups. The authors emphasize the fundamental work of Gikhman and Skorokhod on the existence and uniqueness of solutions to stochastic differential equations and present its extension to infinite dimension. They also generalize the work of Khasminskii on stability and stationary distributions of solutions. New results, applications, and examples of stochastic partial differential equations are included. This clear and detailed presentation gives the basics of the infinite dimensional version of the classic books of Gikhman and Skorokhod and of Khasminskii in one concise volume that covers the main topics in infinite dimensional stochastic PDE’s. By appropriate selection of material, the volume can be adapted for a 1- or 2-semester course, and can prepare the reader for research in this rapidly expanding area.

Author: Avner Friedman
Publisher: Academic Press
ISBN: 1483217884
Category : Mathematics
Languages : en
Pages : 317

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Book Description
Stochastic Differential Equations and Applications, Volume 2 is an eight-chapter text that focuses on the practical aspects of stochastic differential equations. This volume begins with a presentation of the auxiliary results in partial differential equations that are needed in the sequel. The succeeding chapters describe the behavior of the sample paths of solutions of stochastic differential equations. These topics are followed by a consideration of an issue whether the paths can hit a given set with positive probability, as well as the stability of paths about a given manifold and with spiraling of paths about this manifold. Other chapters deal with the applications to partial equations, specifically with the Dirichlet problem for degenerate elliptic equations. These chapters also explore the questions of singular perturbations and the existence of fundamental solutions for degenerate parabolic equations. The final chapters discuss stopping time problems, stochastic games, and stochastic differential games. This book is intended primarily to undergraduate and graduate mathematics students.

Author: Bernard J. Matkowsky
Publisher:
ISBN:
Category :
Languages : en
Pages : 40

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Author: Abdon Atangana
Publisher: Springer Nature
ISBN: 9811907293
Category : Mathematics
Languages : en
Pages : 552

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This book provides a thorough conversation on the underpinnings of Covid-19 spread modelling by using stochastics nonlocal differential and integral operators with singular and non-singular kernels. The book presents the dynamic of Covid-19 spread behaviour worldwide. It is noticed that the spread dynamic followed process with nonlocal behaviours which resemble power law, fading memory, crossover and stochastic behaviours. Fractional stochastic differential equations are therefore used to model spread behaviours in different parts of the worlds. The content coverage includes brief history of Covid-19 spread worldwide from December 2019 to September 2021, followed by statistical analysis of collected data for infected, death and recovery classes.

Author: Jacek Kiedrowski
Publisher:
ISBN:
Category : Differential equations
Languages : en
Pages : 0

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