Singular Stochastic Differential Equations

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Singular Stochastic Differential Equations

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Author : Alexander S. Cherny
language : en
Publisher: Springer Science & Business Media
Release Date : 2005

Singular Stochastic Differential Equations written by Alexander S. Cherny and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Stochastic differential equations categories.

Topics On Singular Stochastic Control And Related Stochastic Differential Equations

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Author : Jin Ma
language : en
Publisher:
Release Date : 1992

Topics On Singular Stochastic Control And Related Stochastic Differential Equations written by Jin Ma and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Stochastic control theory categories.

Topics On Singular Stochastic Control And Related Stochastic Differential Equations

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Author : Chin Ma
language : en
Publisher:
Release Date : 1992

Topics On Singular Stochastic Control And Related Stochastic Differential Equations written by Chin Ma and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with categories.

Singular Stochastic Differential Equations

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Author : Alexander S. Cherny
language : en
Publisher: Springer
Release Date : 2004-12-02

Singular Stochastic Differential Equations written by Alexander S. Cherny and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-12-02 with Mathematics categories.

The authors introduce, in this research monograph on stochastic differential equations, a class of points termed isolated singular points. Stochastic differential equations possessing such points (called singular stochastic differential equations here) arise often in theory and in applications. However, known conditions for the existence and uniqueness of a solution typically fail for such equations. The book concentrates on the study of the existence, the uniqueness, and, what is most important, on the qualitative behaviour of solutions of singular stochastic differential equations. This is done by providing a qualitative classification of isolated singular points, into 48 possible types.

Stochastic Partial Differential Equations

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Author : Helge Holden
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-12-01

Stochastic Partial Differential Equations written by Helge Holden and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-01 with Mathematics categories.

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.

Singular Stochastic Partial Differential Equations On The Real Plane Under Critical Regime

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Author : Jacek Kiedrowski
language : en
Publisher:
Release Date : 2022

Singular Stochastic Partial Differential Equations On The Real Plane Under Critical Regime written by Jacek Kiedrowski and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with Differential equations categories.

Linear Quadratic Singular Stochastic Differential Games And Applications

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Author : Jodi Dianetti
language : en
Publisher:
Release Date : 2023

Linear Quadratic Singular Stochastic Differential Games And Applications written by Jodi Dianetti and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with categories.

We consider a class of non-cooperative N-player non-zero-sum stochastic differential games with singular controls, in which each player can affect a linear stochastic differential equation in order to minimize a cost functional which is quadratic in the state and linear in the control. We call these games linear-quadratic-singular stochastic differential games. Under natural assumptions, we show the existence of open-loop Nash equilibria, which are characterized through a linear system of forward-backward stochastic differential equations. The proof is based on an approximation via a sequence of games in which players are restricted to play Lipschitz continuous strategies. We then discuss an application of these results to a model of capacity expansion in oligopoly markets.

An Introduction To Singular Stochastic Pdes

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Author : Nils Berglund
language : en
Publisher:
Release Date : 2022

An Introduction To Singular Stochastic Pdes written by Nils Berglund and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.

Stochastic Partial Differential Equations And Related Fields

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Author : Andreas Eberle
language : en
Publisher: Springer
Release Date : 2018-07-03

Stochastic Partial Differential Equations And Related Fields written by Andreas Eberle and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-07-03 with Mathematics categories.

This Festschrift contains five research surveys and thirty-four shorter contributions by participants of the conference ''Stochastic Partial Differential Equations and Related Fields'' hosted by the Faculty of Mathematics at Bielefeld University, October 10–14, 2016. The conference, attended by more than 140 participants, including PostDocs and PhD students, was held both to honor Michael Röckner's contributions to the field on the occasion of his 60th birthday and to bring together leading scientists and young researchers to present the current state of the art and promising future developments. Each article introduces a well-described field related to Stochastic Partial Differential Equations and Stochastic Analysis in general. In particular, the longer surveys focus on Dirichlet forms and Potential theory, the analysis of Kolmogorov operators, Fokker–Planck equations in Hilbert spaces, the theory of variational solutions to stochastic partial differential equations, singular stochastic partial differential equations and their applications in mathematical physics, as well as on the theory of regularity structures and paracontrolled distributions. The numerous research surveys make the volume especially useful for graduate students and researchers who wish to start work in the above-mentioned areas, or who want to be informed about the current state of the art.

Stochastic Differential Equations And Applications

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Author : Avner Friedman
language : en
Publisher: Academic Press
Release Date : 2014-06-20

Stochastic Differential Equations And Applications written by Avner Friedman and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-20 with Mathematics categories.

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.