getdoc13e6. 120KB Jun 04 2011 12:04:07 AM
Teks penuh
Garis besar
Dokumen terkait
Keywords: g –expectation, G –expectation, G –normal distribution, BSDE, SDE, nonlinear probability theory, nonlinear expectation, Brownian motion, Itˆo’s stochastic calculus,
Walsh’s theory of martingale measures in order to deal with stochastic partial differential equations that are second order in time, such as the wave equation and the beam equation,
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 article, we establish a probabilistic representation for the second-order moment of the solution of stochastic heat equation in [ 0, 1 ] × R d , with multiplicative noise,
Keywords and phrases: Stochastic partial differential equation, stochas- tic heat equation, Gaussian noise, large deviation principle1. Mathematics Subject Classification (2000):
Nualart: Weak solution for stochastic differential equations driven by a fractional Brownian motion with parameter H > 1/2 and discontinuous drift preprint IMUB N o 319.
Key words: Martingale, differential subordination, orthogonal martingales, moment inequality, stochastic integral, Brownian motion, best constants.. AMS 2000 Subject
Roughly speaking, the problem consists in finding out the criterion that for an a priori given differential equation there locally exists a Lagrange function, from which this
