stochastic differential

stochastic differential

[stō′kas·tik ‚dif·ə′ren·chəl]
(mathematics)
An expression representing the random disturbances occurring in an infinitesimal time interval; it has the form dWt , where {Wt , t ≥ 0} is a Wiener process.
References in periodicals archive ?
Consider the stochastic differential equations in the sense of Stratonovich:
Among the topics are option pricing in a nutshell, examples of nonlinear problems in finance, backward stochastic differential equations, calibrating local correlation models to market smiles, and marked branching diffusions.
One of the main topics of this proposal is to investigate how separation of time scales can cause a fast-slow deterministic system to converge to a stochastic differential equation (SDE).
Consideration of heterogeneity with respect to mortality via a stochastic differential mortality factor enables an investigation of adverse exercise behavior.
Inspired by [5, 10,13], we introduce time-varying consensus gains in the followers control protocol to attenuate the measurement noises, which lead to a time-varying stochastic differential equation of the system.
of Hyderabad, India), but he looks instead at the statistical inference for stochastic processes, modeled by stochastic differential equations driven by fractional Brownian motion, which he calls fractional diffusion processes.
We called the equality above stochastic differential [theta]-equality.
Supposing that the dynamics of neutral risk assessment is given by the following stochastic differential equation:
4 ] there exists a weak solution [xi](t) of diffusion type stochastic differential equation
On the other hand, when unknown disturbances and mismatch cause significant discrepancies, it is appropriate to use stochastic differential equation (SDE) models that explicitly account for unmeasured process disturbances in the states (Jazwinski, 1970; Maybeck, 1979).
Ouerdiane, Convolution calculus and applications to stochastic differential equations, Soochow J.
The paper calibrates stochastic differential equation (SDE) models for the mean and volatility of the Nordic forward electric power market.

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