Stochastic Differential And Difference Equations
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Stochastic Differential And Difference Equations
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Author : Imre Csiszár
language : en
Publisher: Springer Science & Business Media
Release Date : 1997
Stochastic Differential And Difference Equations written by Imre Csiszár 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 1997 with Mathematics categories.
Periodically Correlated Solutions to a Class of Stochastic Difference Equations.- On Nonlinear SDE'S whose Densities Evolve in a Finite-Dimensional Family.- Composition of Skeletons and Support Theorems.- Invariant Measure for a Wave Equation on a Riemannian Manifold.- Ergodic Distributed Control for Parameter Dependent Stochastic Semilinear Systems.- Dirichlet Forms, Caccioppoli Sets and the Skorohod Equation Masatoshi Fukushima.- Rate of Convergence of Moments of Spall's SPSA Method.- General Setting for Stochastic Processes Associated with Quantum Fields.- On a Class of Semilinear Stochastic Partial Differential Equations.- Parallel Numerical Solution of a Class of Volterra Integro-Differential Equations.- On the Laws of the Oseledets Spaces of Linear Stochastic Differential Equations.- On Stationarity of Additive Bilinear State-space Representation of Time Series.- On Convergence of Approximations of Ito-Volterra Equations.- Non-isotropic Ornstein-Uhlenbeck Process and White Noise Analysis.- Stochastic Processes with Independent Increments on a Lie Group and their Selfsimilar Properties.- Optimal Damping of Forced Oscillations Discrete-time Systems by Output Feedback.- Forecast of Lévy's Brownian Motion as the Observation Domain Undergoes Deformation.- A Maximal Inequality for the Skorohod Integral.- On the Kinematics of Stochastic Mechanics.- Stochastic Equations in Formal Mappings.- On Fisher's Information Matrix of an ARMA Process.- Statistical Analysis of Nonlinear and NonGaussian Time Series.- Bilinear Stochastic Systems with Long Range Dependence in Continuous Time.- On Support Theorems for Stochastic Nonlinear Partial Differential Equations.- Excitation and Performance in Continuous-time Stochastic Adaptive LQ-control.- Invariant Measures for Diffusion Processes in Conuclear Spaces.- Degree Theory on Wiener Space and an Application to a Class of SPDEs.- On the Interacting Measure-Valued Branching Processes.
Applied Stochastic Differential Equations
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Author : Simo Särkkä
language : en
Publisher: Cambridge University Press
Release Date : 2019-05-02
Applied Stochastic Differential Equations written by Simo Särkkä and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-05-02 with Business & Economics categories.
With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.
Stochastic Differential And Difference Equations
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Author : Imre Csiszar
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stochastic Differential And Difference Equations written by Imre Csiszar 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 2012-12-06 with Mathematics categories.
Stochastic Differential Equations
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Author : Ludwig Arnold
language : en
Publisher: Wiley-Interscience
Release Date : 1974-04-23
Stochastic Differential Equations written by Ludwig Arnold and has been published by Wiley-Interscience this book supported file pdf, txt, epub, kindle and other format this book has been release on 1974-04-23 with Mathematics categories.
Fundamentals of probability theory; Markov processes and diffusion processes; Wiener process and white noise; Stochastic integrals; The stochastic integral as a stochastic process, stochastic differentials; Stochastic differential equations, existence and uniqueness of solutions; Properties of the solutions of stochastic differential equations; Linear stochastic differentials equations; The solutions of stochastic differentail equations as Markov and diffusion processes; Questions of modeling and approximation; Stability of stochastic dynamic systems; Optimal filtering of a disturbed signal; Optimal control of stochastic dynamic systems.
Numerical Solution Of Stochastic Differential Equations
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Author : Peter E. Kloeden
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-04-17
Numerical Solution Of Stochastic Differential Equations written by Peter E. Kloeden 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 2013-04-17 with Mathematics categories.
The aim of this book is to provide an accessible introduction to stochastic differ ential equations and their applications together with a systematic presentation of methods available for their numerical solution. During the past decade there has been an accelerating interest in the de velopment of numerical methods for stochastic differential equations (SDEs). This activity has been as strong in the engineering and physical sciences as it has in mathematics, resulting inevitably in some duplication of effort due to an unfamiliarity with the developments in other disciplines. Much of the reported work has been motivated by the need to solve particular types of problems, for which, even more so than in the deterministic context, specific methods are required. The treatment has often been heuristic and ad hoc in character. Nevertheless, there are underlying principles present in many of the papers, an understanding of which will enable one to develop or apply appropriate numerical schemes for particular problems or classes of problems.
Stochastic Differential Equations
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Author : Bernt Oksendal
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Stochastic Differential Equations written by Bernt Oksendal 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 2013-03-09 with Mathematics categories.
These notes are based on a postgraduate course I gave on stochastic differential equations at Edinburgh University in the spring 1982. No previous knowledge about the subject was assumed, but the presen tation is based on some background in measure theory. There are several reasons why one should learn more about stochastic differential equations: They have a wide range of applica tions outside mathematics, there are many fruitful connections to other mathematical disciplines and the subject has a rapidly develop ing life of its own as a fascinating research field with many interesting unanswered questions. Unfortunately most of the literature about stochastic differential equations seems to place so much emphasis on rigor and complete ness that is scares many nonexperts away. These notes are an attempt to approach the subject from the nonexpert point of view: Not knowing anything (except rumours, maybe) about a subject to start with, what would I like to know first of all? My answer would be: 1) In what situations does the subject arise? 2) What are its essential features? 3) What are the applications and the connections to other fields? I would not be so interested in the proof of the most general case, but rather in an easier proof of a special case, which may give just as much of the basic idea in the argument. And I would be willing to believe some basic results without proof (at first stage, anyway) in order to have time for some more basic applications.
Stochastic Differential Equations And Applications
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Author : Avner Friedman
language : en
Publisher: Courier Corporation
Release Date : 2012-08-28
Stochastic Differential Equations And Applications written by Avner Friedman and has been published by Courier Corporation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-28 with Mathematics categories.
This text develops the theory of systems of stochastic differential equations, and it presents applications in probability, partial differential equations, and stochastic control problems. Originally published in two volumes, it combines a book of basic theory and selected topics with a book of applications. The first part explores Markov processes and Brownian motion; the stochastic integral and stochastic differential equations; elliptic and parabolic partial differential equations and their relations to stochastic differential equations; the Cameron-Martin-Girsanov theorem; and asymptotic estimates for solutions. The section concludes with a look at recurrent and transient solutions. Volume 2 begins with an overview of auxiliary results in partial differential equations, followed by chapters on nonattainability, stability and spiraling of solutions; the Dirichlet problem for degenerate elliptic equations; small random perturbations of dynamical systems; and fundamental solutions of degenerate parabolic equations. Final chapters examine stopping time problems and stochastic games and stochastic differential games. Problems appear at the end of each chapter, and a familiarity with elementary probability is the sole prerequisite.
Stochastic Stability Of Differential Equations
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Author : Rafail Khasminskii
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-09-20
Stochastic Stability Of Differential Equations written by Rafail Khasminskii 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 2011-09-20 with Mathematics categories.
Since the publication of the first edition of the present volume in 1980, the stochastic stability of differential equations has become a very popular subject of research in mathematics and engineering. To date exact formulas for the Lyapunov exponent, the criteria for the moment and almost sure stability, and for the existence of stationary and periodic solutions of stochastic differential equations have been widely used in the literature. In this updated volume readers will find important new results on the moment Lyapunov exponent, stability index and some other fields, obtained after publication of the first edition, and a significantly expanded bibliography. This volume provides a solid foundation for students in graduate courses in mathematics and its applications. It is also useful for those researchers who would like to learn more about this subject, to start their research in this area or to study the properties of concrete mechanical systems subjected to random perturbations.
Random Differential Equations In Science And Engineering
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Author : Soong
language : en
Publisher: Academic Press
Release Date : 1973-09-21
Random Differential Equations In Science And Engineering written by Soong and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1973-09-21 with Computers categories.
Random Differential Equations in Science and Engineering
Stochastic Differential Equations And Applications
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Author : X Mao
language : en
Publisher: Elsevier
Release Date : 2007-12-30
Stochastic Differential Equations And Applications written by X Mao and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-30 with Mathematics categories.
This advanced undergraduate and graduate text has now been revised and updated to cover the basic principles and applications of various types of stochastic systems, with much on theory and applications not previously available in book form. The text is also useful as a reference source for pure and applied mathematicians, statisticians and probabilists, engineers in control and communications, and information scientists, physicists and economists. - Has been revised and updated to cover the basic principles and applications of various types of stochastic systems - Useful as a reference source for pure and applied mathematicians, statisticians and probabilists, engineers in control and communications, and information scientists, physicists and economists