منابع مشابه
Itô Formula for Free Stochastic Integrals
The subject of this paper is stochastic integration in the context of free probability. Noncommutative stochastic processes with freely independent increments, especially the free Brownian motion, have been investigated in a number of sources, see [BS98], [Ans00] and their references. In the latter paper, we started the analysis of such processes, which we also call free stochastic measures, us...
متن کاملAn Itô Formula for an Accretive Operator
We give an Itô formula associated to a non-linear semi-group associated to a m-accretive operator.
متن کاملOptimal sampling design for approximation of stochastic Itô integrals with application to the nonlinear Lebesgue integration
where T > 0 is a given number, a function f : [0, T ]× R → R satisfies certain regularity conditions and (Bt)t∈[0,T ] is a one dimensional Brownian motion on some probability space (Ω,Σ,P). Since in most cases explicit value of the integral (1) is not available, we must consider approximation schemes. We are interested in algorithms which use only discrete values of the driving Brownian motion ...
متن کاملstrong approximation for itô stochastic differential equations
in this paper, a class of semi-implicit two-stage stochastic runge-kutta methods (srks) of strong global order one, with minimum principal error constants are given. these methods are applied to solve itô stochastic differential equations (sdes) with a wiener process. the efficiency of this method with respect to explicit two-stage itô runge-kutta methods (irks), it method, milstien method, sem...
متن کاملPath Integrals for Stochastic Neurodynamics Path Integrals for Stochastic Neurodynamics
We present here a method for the study of stochastic neurodynamics in the framework of the "Neural Network Master Equation" proposed by Cowan. We consider a model neural network composed of two{state neurons subject to simple stochastic kinetics. We introduce a method based on a spin choerent state path integral to compute the moment generating function of such a network. A formal construction ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Functional Analysis
سال: 2002
ISSN: 0022-1236
DOI: 10.1006/jfan.2001.3849