منابع مشابه
Toward a Stochastic Calculus for Several Markov Processes
For these harmonic functions we investigate a certain boundary value problem which is analogous to the Dirichlet problem associated with a single process. One basic tool for this study is a generalization of Dynkin's formula, which can be thought of as a kind of stochastic Green's formula. Another important tool is the use of Markov processes~, obtained from x;, by certain random time changes. ...
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2 Ito-Doeblin’s formula(s) 7 2.1 First formulations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 2.2 Generalizations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 2.3 Continuous semi-martingales . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 2.4 Integration by parts formula . . . . . . . . . . . ...
متن کاملA Stochastic Network Calculus
The issue of Quality of Service (QoS) performance analysis in packet switched networks has drawn a lot of attention in the networking community in recent years. There is a lot of work including an elegant theory under the name of network calculus focusing on analysis of deterministic worst case QoS performance bounds. In the meantime, other researchers have studied the stochastic QoS performanc...
متن کاملA Stochastic Network Calculus
The issue of Quality of Service (QoS) performance analysis in packet switching networkshas drawn a lot of attention in the networking community in recent years. There is a lot ofwork including an elegant theory under the name of network calculus focusing on analysisof deterministic worst case QoS performance bounds. In the meantime, other researchershave studied the stochastic Q...
متن کاملStochastic Calculus
The following notes aim to provide a very informal introduction to Stochastic Calculus, and especially to the Itô integral and some of its applications. They owe a great deal to Dan Crisan's Stochastic Calculus and Applications lectures of 1998; and also much to various books especially those of L. C. G. Rogers and D. Williams, and Dellacherie and Meyer's multi volume series 'Probabilities et P...
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ژورنال
عنوان ژورنال: Proceedings of the National Academy of Sciences
سال: 1969
ISSN: 0027-8424,1091-6490
DOI: 10.1073/pnas.63.4.1084