stochastic differential equation
- stochastic differential equation
стохастическое дифференциальное уравнение
English-Russian Dictionary on Probability, Statistics, and Combinatorics. — Philadelphia and Moscow. Society for Industrial and Applied Mathematics and TVP Science Publishers.
K. A. Borovkov.
1994.
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Stochastic differential equation — A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, thus resulting in a solution which is itself a stochastic process. SDE are used to model diverse phenomena such as… … Wikipedia
stochastic differential equation — noun a type of differential equation in which one or more of the terms is a stochastic process resulting in a solution which is itself a stochastic process Syn: SDE … Wiktionary
Differential equation — Not to be confused with Difference equation. Visualization of heat transfer in a pump casing, created by solving the heat equation. Heat is being generated internally in the casing and being cooled at the boundary, providing a steady state… … Wikipedia
Stochastic partial differential equation — Stochastic partial differential equations (SPDEs) are similar to ordinary stochastic differential equations. They are essentially partial differential equations that have additional random terms. They can be exceedingly difficult to solve.… … Wikipedia
Partial differential equation — A visualisation of a solution to the heat equation on a two dimensional plane In mathematics, partial differential equations (PDE) are a type of differential equation, i.e., a relation involving an unknown function (or functions) of several… … Wikipedia
Stochastic volatility — models are used in the field of quantitative finance to evaluate derivative securities, such as options. The name derives from the models treatment of the underlying security s volatility as a random process, governed by state variables such as… … Wikipedia
Stochastic processes and boundary value problems — In mathematics, some boundary value problems can be solved using the methods of stochastic analysis. Perhaps the most celebrated example is Shizuo Kakutani s 1944 solution of the Dirichlet problem for the Laplace operator using Brownian motion.… … Wikipedia
Equation differentielle stochastique — Équation différentielle stochastique Une équation différentielle stochastique (EDS) est une généralisation de la notion d équation différentielle prenant en compte un terme de bruit blanc. Les EDS permettent de modéliser des trajectoires… … Wikipédia en Français
Équation différentielle stochastique — Une équation différentielle stochastique (EDS) est une généralisation de la notion d équation différentielle prenant en compte un terme de bruit blanc. Les EDS permettent de modéliser des trajectoires aléatoires, tels des cours de bourse ou les… … Wikipédia en Français
Stochastic process — A stochastic process, or sometimes random process, is the counterpart to a deterministic process (or deterministic system) in probability theory. Instead of dealing with only one possible reality of how the process might evolve under time (as is… … Wikipedia
Fokker–Planck equation — [ thumb|A solution to the one dimensional Fokker–Planck equation, with both the drift and the diffusion term. The initial condition is a Dirac delta function in x = 1, and the distribution drifts towards x = 0.] The Fokker–Planck equation… … Wikipedia
