getdocc44b. 164KB Jun 04 2011 12:04:56 AM
Teks penuh
Garis besar
Dokumen terkait
Keywords: Gradient drift diffusion; Time reversal; Nelson stochastic derivatives; Kolmogorov theorem; Reversible diffusion; Stationary diffusion; Martingale
Key words: Curvilinear integrals, H¨older continuity, rough paths, stochastic integrals, stochastic differential equations, fractional Brownian motion.. AMS 2000 Subject
In the almost last three decades, there have been enormous advances in the study of random field solutions to stochastic partial differential equations (SPDEs) driven by
In this paper, we study a stationary control problem when the state process is a one di- mensional diffusion whose drift admits a unique, asymptotically stable equilibrium point
There also exists a considerable literature on the study of asymptotic analysis of stochastic differential equations (SDEs) with periodic structures and its connection
Bensoussan, Some existence results for stochastic partial differential equa- tions , in Stochastic Partial Differential Equations and Applications, G. Tubaro, eds.,
backward stochastic differential equation (BSDE), stability of BSDEs, weak convergence of filtrations,
We investigate a functional limit theorem (homogenization) for Reflected Stochastic Differential Equations on a half-plane with stationary coefficients when it is necessary to
