搜索结果: 1-15 共查到“数学 stochastic differential equations”相关记录28条 . 查询时间(0.095 秒)
Information Theoretic Limits on Learning Stochastic Differential Equations
Stochastic differential equation the coefficient
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2015/8/21
Consider the problem of learning the drift coefficient of a stochastic differential equation from a sample path. In this paper, we assume that the drift is parametrized by a highdimensional vector. We...
Bifurcations of stochastic differential equations with singular diffusion coefficients
bifurcations noise universal unfolding stochastic stability (quasi)-stationary distributions normal forms
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2012/5/9
In this article, we address the dynamics and bifurcations of a wide class of stochastic differential equations around singular points where both the drift and diffusion functions vanish. We apply thes...
Forward-Backward Doubly Stochastic Differential Equations with Brownian Motions and Poisson Process
Forward-backward doubly stochastic differential equations stochastic analysis random measure Poisson process
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2011/11/7
The existence and uniqueness for solution of backward doubly stochastic differential equations with Brownian motions and Poisson process and that of forward-backward doubly stochastic differential equ...
FORWARD-BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS
Forward-backward doubly stochastic differential equations equivalent norm, contraction mapping
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2011/11/7
A type of forward-backward doubly stochastic differential equations (FBDSDEs) is studied. Under some natural monotonicity assumptions, the existence and uniqueness result is established.
Backward Stochastic Differential Equations with Discontinuous Coefficients
Backward stochastic differential equation discontinuous generator strong solution weak solution
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2011/11/5
Exploring functional analysis methods, this paper gives an existence theorem of strong solutions for a class of backward stochastic differential equations(BSDEs) with left-Lipschitz coefficients (may ...
Stochastic differential equations with non-negativity constraints driven by fractional Brownian motion with Hurst parameter H $>$ 1/2
stochastic differential equations normal reflection fractional Brownian motion Young integral
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2011/9/22
Abstract: In this paper we consider stochastic differential equations with non-negativity constraints, driven by a fractional Brownian motion with Hurst parameter $H>\1/2$. We first study an ordinary ...
A trajectorial interpretation of the dissipations of entropy and Fisher information for stochastic differential equations
entropy and Fisher information stochastic differential equations Probability
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2011/9/13
Abstract: We introduce and develop a pathwise description of the dissipation of general convex entropies for continuous time Markov processes, based on simple backward martingales and convergence theo...
A regression Monte-Carlo method for Backward Doubly Stochastic Differential Equations
regression Monte-Carlo method Stochastic Differential Equations Probability
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2011/8/30
Abstract: This paper extends the idea of E.Gobet, J.P.Lemor and X.Warin from the setting of Backward Stochastic Differential Equations to that of Backward Doubly Stochastic Differential equations. We ...
On backward stochastic differential equations approach to valuation of American options
Backward stochastic differential equation Obstacle problem American option
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2011/2/24
We consider the problem of valuation of American (call and put) options written on a dividend paying stock governed by the geometric Brownian motion. We show that the value function has two different ...
Stochastic differential equations and application of the Kalman-Bucy filter in the modeling of RC circuit
Stochastic Differential Equation white noise
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2010/9/21
The filtering problem have an important role in the theory of stochastic differential equations(SDEs). In this paper, we present an application of the continuous Kalman-Bucy filter for a RC circuit. T...
On Girsanov's transform for backward stochastic differential equations
stochastic differential equations math
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2010/11/19
By using a simple observation that the density processes appearing in Ito's martingale representation theorem are invariant under the change of measures, we establish a non-linear version of the Came...
Reflected backward doubly stochastic differential equations with discontinuous generator
stochastic differential equations discontinuous generator
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2010/11/19
In this note, we study one-dimensional reflected backward doubly stochastic differential equations (RBDSDEs) with one continuous barrier and discontinuous generator (left-or right-continuous). By a c...
Generalized backward doubly stochastic differential equations driven by Lévy processes with continuous coefficients
stochastic differential equations continuous coefficients
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2010/11/19
A new class of generalized backward doubly stochastic differential equations (GBDSDEs in short) driven by Teugels martingales associated with L\'evy process are investigated. We establish a compariso...
Multivalued stochastic Dirichlet-Neumann problems and generalized backward doubly stochastic differential equations
Dirichlet-Neumann problems stochastic differential equations
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2010/11/19
In this paper, a class of generalized backward doubly stochastic differential equations whose coefficient contains the subdifferential operators of two convex functions (also called generalized backw...
Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a Lévy process
partial differential-integral equations stochastic differential equations
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2010/11/19
In this paper, we deal with a class of backward doubly stochastic differential equations (BDSDEs, in short) involving subdifferential operator of a convex function and driven by Teugels martingales a...