Ad
related to: stochastic differential equations oksendal
Search results
Results from the WOW.Com Content Network
In 1982 he taught a postgraduate course in stochastic calculus at the University of Edinburgh which led to the book Øksendal, Bernt K. (1982). Stochastic Differential Equations: An Introduction with Applications. Springer, Berlin. In 2005, he taught a course in stochastic calculus at the African Institute for Mathematical Sciences in Cape Town.
The calculus has been applied to stochastic partial differential equations as well. The calculus allows integration by parts with random variables; this operation is used in mathematical finance to compute the sensitivities of financial derivatives. The calculus has applications in, for example, stochastic filtering.
A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, [1] resulting in a solution which is also a stochastic process. SDEs have many applications throughout pure mathematics and are used to model various behaviours of stochastic models such as stock prices , [ 2 ] random ...
Stochastic Integral. Proc. Imperial Acad. Tokyo 20, 519–524. This is the paper with the Ito Formula; Online; Kiyosi Itô (1951). On stochastic differential equations. Memoirs, American Mathematical Society 4, 1–51. Online; Bernt Øksendal (2000). Stochastic Differential Equations. An Introduction with Applications, 5th edition, corrected ...
A stochastic process S t is said to follow a GBM if it satisfies the following stochastic differential equation (SDE): = + where is a Wiener process or Brownian motion, and ('the percentage drift') and ('the percentage volatility') are constants.
In probability theory, the Skorokhod problem is the problem of solving a stochastic differential equation with a reflecting boundary condition. [1] The problem is named after Anatoliy Skorokhod who first published the solution to a stochastic differential equation for a reflecting Brownian motion. [2] [3] [4]
How about Stochastic Differential Equations by Bernt Oksendal? There O-U and mean-reverting O-U processes are distinguished. Your point above about setting \mu=0 is valid but it makes pedagogic sense to introduce the \mu=0 case first I think —Preceding unsigned comment added by 131.111.16.20 08:57, 13 April 2009 (UTC)
In mathematics — specifically, in stochastic analysis — the infinitesimal generator of a Feller process (i.e. a continuous-time Markov process satisfying certain regularity conditions) is a Fourier multiplier operator [1] that encodes a great deal of information about the process.
Ad
related to: stochastic differential equations oksendal