نتایج جستجو برای: Ito formula

تعداد نتایج: 97422  

2007
Cuilian You

In this paper, multi-dimensional Wiener-Liu process is proposed. Wiener-Liu process is a type of hybrid process, it corresponds to Brownian motion (Wiener process) in stochastic process and Liu process in fuzzy process. In classical analysis, the basic operations are differential and integral. Correspondingly, Ito-Liu formula plays the role of Ito formula in stochastic process and Liu formula i...

2013
Adam Bowditch

2 Brownian Motion 6 2.1 Kolmogorov’s Continuity Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 2.2 Working With Ito Formula . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 2.3 Stopping Times and Local Martingales . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 2.4 Ito Formula . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ....

Journal: :Stochastic Processes and their Applications 1995

Journal: :Proceedings of the Japan Academy, Series A, Mathematical Sciences 1984

2010
Rama Cont David-Antoine Fournié

We develop a non-anticipative calculus for functionals of a continuous semimartingale, using an extension of the Ito formula to path-dependent functionals which possess certain directional derivatives. The construction is based on a pathwise derivative, introduced by B Dupire, for functionals on the space of right-continuous functions with left limits. We show that this functional derivative ad...

2009
Fabrizio Gelsomino Olivier Lévêque

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 . . . . . . . . . . . ...

Journal: :bulletin of the iranian mathematical society 2014
jun liu

the stochastic reaction diffusion systems may suffer sudden shocks‎, ‎in order to explain this phenomena‎, ‎we use markovian jumps to model stochastic reaction diffusion systems‎. ‎in this paper‎, ‎we are interested in almost sure exponential stability of stochastic reaction diffusion systems with markovian jumps‎. ‎under some reasonable conditions‎, ‎we show that the trivial solution of stocha...

Journal: :international journal of nonlinear analysis and applications 2011
r. rezaeyan r. farnoush e. b. jamkhaneh

in this paper, we present an application of the stochastic calculusto the problem of modeling electrical networks. the filtering problem have animportant role in the theory of stochastic differential equations(sdes). in thisarticle, we present an application of the continuous kalman-bucy filter for a rlcircuit. the deterministic model of the circuit is replaced by a stochastic model byadding a ...

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