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Allgemeinbegriff

Stochastische Differentialgleichung

Differentialgleichung

Sachbegriff	Stochastische Differentialgleichung
Synonym	Stochastische Differenzialgleichung
Oberbegriff	Differentialgleichung
Themengebiet	Stochastik, Operations Research
Quelle	W Math.
Datensatztyp	Allgemeinbegriff
GND-Nummer	4057621-8
Datensatz-ID	040576213
Thema in alle anzeigen Asymptotics and numerics in rough and local stochastic volatility models Stochastic Differential Equation Models and State-Space Representations: Parameter Estimation Methods and Applications to Spatio-Temporal Systems A priori bounds for the dynamic fractional Φ⁴ model in the full subcritical regime Approximation and stability in rough analysis with applications to mathematical finance Approximation of Stochastic Partial Differential Equations with Applications to Order Book Modelling Critical and supercritical singular S(P)DEs: A probabilistic approach Into space: Statistical inference for stochastic partial differential equations using spatial information Large scale behaviour of infinite dimensional stochastic systems Long-time behavior of stochastic evolution equations with multiplicative rough noise Model order reduction for stochastic differential equations driven by standard and fractional Brownian motion Modeling, simulation, and parameter inference of complex, stochastic biomechanical systems : From stochastic tumor- and neuron-growth models to general spatial uncertainty in computational mechanics Nonlinear semimartingales and Markov processes Numerical solution of SPDEs on a class of two-dimensional domains and of random differential equations using PCE with exponential time differencing On Markov decision processes with the stochastic differential Bellman Equation On optimal error rates for strong approximation of stochastic differential equations with irregular drift coefficients Stability of Random Dynamical Systems in Noisy Oscillators with Shear and in Stochastic Gradient Descent Stochastic differential system with one-point coupling and applications to climate modelling Stochastic second order hyperbolic cauchy-problems as continuum limits of discrete difference equations Weak convergence of the Milstein scheme for semi-linear parabolic stochastic evolution equations Approximation theorems for Lévy-driven Marcus (canonical) stochastic differential equations Distributed asynchronous stochastic approximation algorithms with unbounded stochastic information delays - theory and applications Higher-order adaptive multilevel Monte Carlo methods for stochastic differential equations Hypocoercivity for infinite dimensional non-linear degenerate stochastic differential equations with multiplicative noise Implementing Probabilistic Numerical Solvers for Differential Equations Large Deviations and Higher Order Fluctuation Expansions for Conservative Stochastic PDEs Mean field limit for stochastic particle systems with and without common noise Measure-valued processes and stochastic flows Nonlinear diffusion equations with and without memory and stochastic perturbation : theory and numerical approximation Numerical approximation methods for semilinear partial differential equations with gradient-dependent nonlinearities On some stochastic control models and related free-boundary problems in insurance mathematics Qualitative behavior of stochastic lattice equations Rough paths and rough volatility Runge-Kutta-Munthe-Kaas schemes for stochastic differential equations on manifolds Statistical Inference for Stochastic Differential Equations using Splitting Schemes Theoretical and numerical analysis of Fokker–Planck optimal control problems by first– and second–order optimality conditions Well-posedness of stochastic Volterra equations with non-Lipschitz coefficients Analysis of a Consensus-based Optimization Method on Hypersurfaces and Applications Calibration of non-semimartingale models - an adjoint approach Characterization of Jump-Diffusion Stochastic Dynamics: Analysis and Applications on Real World Data Derivation of macroscopic equations for interacting diffusions with singular kernels Fractional Stochastic Calculus via Stochastic Sewing Infinitesimal analysis of singular stochastic partial differential equations McKean-Vlasov SDEs with singular drifts Measure-valued Processes and Stochastic Flows Multiresolution-based grid adaptation for hyperbolic conservation laws with uncertain initial data Numerical Analysis and Simulation of Coupled Systems of Stochastic Partial Differential Equations with Algebraic Constraints Numerical approximation of optimal control problems for stochastic neuron models in infinite dimensions Quasi-Ergodicity of SPDE: Spectral Theory and Phase Reduction Strong solutions to McKean–Vlasov stochastic differential equations with coefficients of Nemytskii-type The role of rough paths in the study of the stochastic Landau-Lifschitz-Gilbert equation Analysis and Numerics of Stochastic Gradient Flows Augmented Generators for Non-autonomous Flows Contributions to measure-valued diffusion processes arising in statistical mechanics and population genetics Convergence of McKean-Vlasov processes and Markov Chain Monte Carlo methods for mean-field models Effective methods for generalized stochastic volatility models Monte-Carlo methods for backward stochastic differential equations : segment-wise dynamic programming and fast rates for lower bounds Multi-level stochastic collocation methods for parabolic and Schrödinger equations On second order elliptic stochastic partial differential equations and almost periodically stationary processes Optimal control of stochastic reaction-diffusion equations Rigorous derivation of the degenerate parabolic-elliptic Keller-Segel System from a moderately interacting stochastic particle system

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Stochastische Differentialgleichung

Asymptotics and numerics in rough and local stochastic volatility models

Stochastic Differential Equation Models and State-Space Representations: Parameter Estimation Methods and Applications to Spatio-Temporal Systems

A priori bounds for the dynamic fractional Φ⁴ model in the full subcritical regime

Approximation and stability in rough analysis with applications to mathematical finance

Approximation of Stochastic Partial Differential Equations with Applications to Order Book Modelling

Critical and supercritical singular S(P)DEs: A probabilistic approach

Into space: Statistical inference for stochastic partial differential equations using spatial information

Large scale behaviour of infinite dimensional stochastic systems

Long-time behavior of stochastic evolution equations with multiplicative rough noise

Model order reduction for stochastic differential equations driven by standard and fractional Brownian motion

Modeling, simulation, and parameter inference of complex, stochastic biomechanical systems : From stochastic tumor- and neuron-growth models to general spatial uncertainty in computational mechanics

Nonlinear semimartingales and Markov processes

Numerical solution of SPDEs on a class of two-dimensional domains and of random differential equations using PCE with exponential time differencing

On Markov decision processes with the stochastic differential Bellman Equation

On optimal error rates for strong approximation of stochastic differential equations with irregular drift coefficients

Stability of Random Dynamical Systems in Noisy Oscillators with Shear and in Stochastic Gradient Descent

Stochastic differential system with one-point coupling and applications to climate modelling

Stochastic second order hyperbolic cauchy-problems as continuum limits of discrete difference equations

Weak convergence of the Milstein scheme for semi-linear parabolic stochastic evolution equations

Approximation theorems for Lévy-driven Marcus (canonical) stochastic differential equations

Distributed asynchronous stochastic approximation algorithms with unbounded stochastic information delays - theory and applications

Higher-order adaptive multilevel Monte Carlo methods for stochastic differential equations

Hypocoercivity for infinite dimensional non-linear degenerate stochastic differential equations with multiplicative noise

Implementing Probabilistic Numerical Solvers for Differential Equations

Large Deviations and Higher Order Fluctuation Expansions for Conservative Stochastic PDEs

Mean field limit for stochastic particle systems with and without common noise

Measure-valued processes and stochastic flows

Nonlinear diffusion equations with and without memory and stochastic perturbation : theory and numerical approximation

Numerical approximation methods for semilinear partial differential equations with gradient-dependent nonlinearities

On some stochastic control models and related free-boundary problems in insurance mathematics

Qualitative behavior of stochastic lattice equations

Rough paths and rough volatility

Runge-Kutta-Munthe-Kaas schemes for stochastic differential equations on manifolds

Statistical Inference for Stochastic Differential Equations using Splitting Schemes

Theoretical and numerical analysis of Fokker–Planck optimal control problems by first– and second–order optimality conditions

Well-posedness of stochastic Volterra equations with non-Lipschitz coefficients

Analysis of a Consensus-based Optimization Method on Hypersurfaces and Applications

Calibration of non-semimartingale models - an adjoint approach

Characterization of Jump-Diffusion Stochastic Dynamics: Analysis and Applications on Real World Data

Derivation of macroscopic equations for interacting diffusions with singular kernels

Fractional Stochastic Calculus via Stochastic Sewing

Infinitesimal analysis of singular stochastic partial differential equations

McKean-Vlasov SDEs with singular drifts

Measure-valued Processes and Stochastic Flows

Multiresolution-based grid adaptation for hyperbolic conservation laws with uncertain initial data

Numerical Analysis and Simulation of Coupled Systems of Stochastic Partial Differential Equations with Algebraic Constraints

Numerical approximation of optimal control problems for stochastic neuron models in infinite dimensions

Quasi-Ergodicity of SPDE: Spectral Theory and Phase Reduction

Strong solutions to McKean–Vlasov stochastic differential equations with coefficients of Nemytskii-type

The role of rough paths in the study of the stochastic Landau-Lifschitz-Gilbert equation

Analysis and Numerics of Stochastic Gradient Flows

Augmented Generators for Non-autonomous Flows

Contributions to measure-valued diffusion processes arising in statistical mechanics and population genetics

Convergence of McKean-Vlasov processes and Markov Chain Monte Carlo methods for mean-field models

Effective methods for generalized stochastic volatility models

Monte-Carlo methods for backward stochastic differential equations : segment-wise dynamic programming and fast rates for lower bounds

Multi-level stochastic collocation methods for parabolic and Schrödinger equations

On second order elliptic stochastic partial differential equations and almost periodically stationary processes

Optimal control of stochastic reaction-diffusion equations

Rigorous derivation of the degenerate parabolic-elliptic Keller-Segel System from a moderately interacting stochastic particle system