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Items for "stochastic differential equations"

Subordination of symmetric quasi -regular Dirichlet forms

The generators of subordinate symmetric (sub-) Markov processes and their domains are exhibited by using spectral theory...

Keywords: Infinite dimensional, stochastic differential equations, stochastic partial differential equations, subordination, pseudo -differential operators, Dirichlet forms, uniqueness

01/2005 | Random Operators and Stochastic Equations, Walter de Gruyter
Stochastic equations with multidimensional drift driven by Levy processes

The stochastic equation

dXt = dLt + a(t,Xt )dt, t > 0,

is considered where L is a d-dimensional Levy process with the characteristic exponent (ξ), ξ ∈ Bbb R, d > 1...

Keywords: Multidimensional Levy processes, stochastic differential equations, time-dependent drift, weak convergence

12/2006 | Random Operators and Stochastic Equations, Walter de Gruyter
Approximations for expectations of functionals of solutions to stochastic differential equations

Approximate evaluation of mathematical expectations of nonlinear functionals of solutions to stochastic differential equations is considered...

Keywords: stochastic differential equations, nonlinear functional of solutions, mathematical expectations of functionals, approximate evaluation

11/2007 | Monte Carlo Methods and Applications, Walter de Gruyter