Applied Stochastic Differential Equations
Applied Stochastic Differential Equations

Author: Simo Särkkä

Publisher: Cambridge University Press

Published: 2019-05-02

Total Pages: 327

ISBN-13: 1316510085

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With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.

Stochastic Partial Differential Equations
Stochastic Partial Differential Equations

Author: Helge Holden

Publisher: Springer Science & Business Media

Published: 2013-12-01

Total Pages: 238

ISBN-13: 1468492152

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This book is based on research that, to a large extent, started around 1990, when a research project on fluid flow in stochastic reservoirs was initiated by a group including some of us with the support of VISTA, a research coopera tion between the Norwegian Academy of Science and Letters and Den norske stats oljeselskap A.S. (Statoil). The purpose of the project was to use stochastic partial differential equations (SPDEs) to describe the flow of fluid in a medium where some of the parameters, e.g., the permeability, were stochastic or "noisy". We soon realized that the theory of SPDEs at the time was insufficient to handle such equations. Therefore it became our aim to develop a new mathematically rigorous theory that satisfied the following conditions. 1) The theory should be physically meaningful and realistic, and the corre sponding solutions should make sense physically and should be useful in applications. 2) The theory should be general enough to handle many of the interesting SPDEs that occur in reservoir theory and related areas. 3) The theory should be strong and efficient enough to allow us to solve th,~se SPDEs explicitly, or at least provide algorithms or approximations for the solutions.

Stochastic Differential Equations in Infinite Dimensions
Stochastic Differential Equations in Infinite Dimensions

Author: Leszek Gawarecki

Publisher: Springer Science & Business Media

Published: 2010-11-29

Total Pages: 300

ISBN-13: 3642161944

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The systematic study of existence, uniqueness, and properties of solutions to stochastic differential equations in infinite dimensions arising from practical problems characterizes this volume that is intended for graduate students and for pure and applied mathematicians, physicists, engineers, professionals working with mathematical models of finance. Major methods include compactness, coercivity, monotonicity, in a variety of set-ups. The authors emphasize the fundamental work of Gikhman and Skorokhod on the existence and uniqueness of solutions to stochastic differential equations and present its extension to infinite dimension. They also generalize the work of Khasminskii on stability and stationary distributions of solutions. New results, applications, and examples of stochastic partial differential equations are included. This clear and detailed presentation gives the basics of the infinite dimensional version of the classic books of Gikhman and Skorokhod and of Khasminskii in one concise volume that covers the main topics in infinite dimensional stochastic PDE’s. By appropriate selection of material, the volume can be adapted for a 1- or 2-semester course, and can prepare the reader for research in this rapidly expanding area.

Fractional Stochastic Differential Equations
Fractional Stochastic Differential Equations

Author: Abdon Atangana

Publisher: Springer Nature

Published: 2022-04-22

Total Pages: 552

ISBN-13: 9811907293

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This book provides a thorough conversation on the underpinnings of Covid-19 spread modelling by using stochastics nonlocal differential and integral operators with singular and non-singular kernels. The book presents the dynamic of Covid-19 spread behaviour worldwide. It is noticed that the spread dynamic followed process with nonlocal behaviours which resemble power law, fading memory, crossover and stochastic behaviours. Fractional stochastic differential equations are therefore used to model spread behaviours in different parts of the worlds. The content coverage includes brief history of Covid-19 spread worldwide from December 2019 to September 2021, followed by statistical analysis of collected data for infected, death and recovery classes.

Singular Stochastic Differential Equations
Singular Stochastic Differential Equations

Author: Alexander S. Cherny

Publisher: Springer

Published: 2004-12-02

Total Pages: 128

ISBN-13: 9783540240075

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The authors introduce, in this research monograph on stochastic differential equations, a class of points termed isolated singular points. Stochastic differential equations possessing such points (called singular stochastic differential equations here) arise often in theory and in applications. However, known conditions for the existence and uniqueness of a solution typically fail for such equations. The book concentrates on the study of the existence, the uniqueness, and, what is most important, on the qualitative behaviour of solutions of singular stochastic differential equations. This is done by providing a qualitative classification of isolated singular points, into 48 possible types.