A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, resulting in a solution...
36 KB (5,665 words) - 10:40, 9 April 2025
Stochastic partial differential equations (SPDEs) generalize partial differential equations via random force terms and coefficients, in the same way ordinary...
8 KB (826 words) - 03:40, 5 July 2024
A backward stochastic differential equation (BSDE) is a stochastic differential equation with a terminal condition in which the solution is required to...
5 KB (613 words) - 01:49, 18 November 2024
In mathematics, a differential equation is an equation that relates one or more unknown functions and their derivatives. In applications, the functions...
29 KB (3,631 words) - 15:23, 23 April 2025
partial differential equations (PDEs) which may be with respect to more than one independent variable, and, less commonly, in contrast with stochastic differential...
44 KB (5,187 words) - 10:48, 30 April 2025
In mathematics, stochastic analysis on manifolds or stochastic differential geometry is the study of stochastic analysis over smooth manifolds. It is...
20 KB (3,647 words) - 00:21, 17 May 2024
mathematics, the Kardar–Parisi–Zhang (KPZ) equation is a non-linear stochastic partial differential equation, introduced by Mehran Kardar, Giorgio Parisi...
13 KB (2,036 words) - 02:27, 15 May 2025
for ordinary differential equations are methods used to find numerical approximations to the solutions of ordinary differential equations (ODEs). Their...
28 KB (3,916 words) - 07:09, 27 January 2025
convection–diffusion equation is a parabolic partial differential equation that combines the diffusion and convection (advection) equations. It describes physical...
20 KB (2,738 words) - 05:54, 7 May 2025
Kakutani makes between stochastic differential equations and the Itō process is effectively the same as Kolmogorov's forward equation, made in 1931, which...
7 KB (1,265 words) - 18:10, 7 May 2025
adjoint of the infinitesimal generator of the underlying stochastic process. The Klein–Kramers equation is a special case of that. For a Feller process ( X...
9 KB (1,723 words) - 04:10, 7 May 2025
In physics, a Langevin equation (named after Paul Langevin) is a stochastic differential equation describing how a system evolves when subjected to a combination...
31 KB (5,246 words) - 04:59, 26 May 2025
In mathematics, a partial differential equation (PDE) is an equation which involves a multivariable function and one or more of its partial derivatives...
49 KB (6,795 words) - 21:29, 14 May 2025
Tsirelson's stochastic differential equation (also Tsirelson's drift or Tsirelson's equation) is a stochastic differential equation which has a weak solution...
4 KB (689 words) - 18:43, 3 May 2025
backward stochastic differential equation method is a numerical method that combines deep learning with Backward stochastic differential equation (BSDE)...
28 KB (4,113 words) - 07:00, 6 January 2025
can be generalized to stochastic systems, in which case the HJB equation is a second-order elliptic partial differential equation. A major drawback, however...
14 KB (2,050 words) - 11:37, 3 May 2025
with drift. It is an important example of stochastic processes satisfying a stochastic differential equation (SDE); in particular, it is used in mathematical...
14 KB (2,140 words) - 02:45, 6 May 2025
Euler–Maruyama method (category Stochastic differential equations)
of a stochastic differential equation (SDE). It is an extension of the Euler method for ordinary differential equations to stochastic differential equations...
10 KB (1,596 words) - 01:17, 9 May 2025
while accounting for omitted degrees of freedom by the use of stochastic differential equations. Langevin dynamics simulations are a kind of Monte Carlo simulation...
21 KB (3,771 words) - 14:14, 16 May 2025
mechanics and information theory, the Fokker–Planck equation is a partial differential equation that describes the time evolution of the probability...
42 KB (7,586 words) - 11:58, 24 May 2025
Itô calculus (redirect from Ito stochastic calculus)
stochastic processes such as Brownian motion (see Wiener process). It has important applications in mathematical finance and stochastic differential equations...
31 KB (4,554 words) - 03:50, 6 May 2025
Malliavin calculus (redirect from Stochastic Calculus of Variations)
the solution of a stochastic differential equation; Hörmander's original proof was based on the theory of partial differential equations. The calculus has...
16 KB (2,660 words) - 13:14, 11 May 2025
differential equation Cauchy–Euler equation Riccati equation Hill differential equation Gauss–Codazzi equations Chandrasekhar's white dwarf equation Lane-Emden...
13 KB (1,097 words) - 09:46, 23 January 2025
backward stochastic differential equation method is a numerical method that combines deep learning with Backward stochastic differential equation (BSDE)...
180 KB (17,772 words) - 09:57, 27 May 2025
intersection of dynamical systems theory, statistical physics, stochastic differential equations (SDE), topological field theories, and the theory of pseudo-Hermitian...
42 KB (5,928 words) - 23:11, 27 May 2025
particular, the theory of stochastic processes. He invented the concept of stochastic integral and stochastic differential equation, and is known as the founder...
19 KB (1,702 words) - 21:22, 15 March 2025
stochastic differential equations (QSDE) that are analogous to classical Langevin equations. For the remainder of this article stochastic calculus will...
19 KB (3,148 words) - 15:01, 12 February 2025
multifractals in turbulence, the stochastic differential equation for growth models for random aggregation (the Kardar–Parisi–Zhang equation) and his groundbreaking...
23 KB (1,961 words) - 12:50, 29 April 2025
-martingale. The above leads to the alternate representation of the stochastic differential equation d X ( t ) = μ ( t ) d t + σ ( t ) d B ( t ) {\displaystyle...
21 KB (3,903 words) - 23:11, 26 May 2025
the equation. If x is restricted to be an integer, a difference equation is the same as a recurrence relation A stochastic differential equation is a...
32 KB (4,249 words) - 19:03, 26 March 2025