Stochastische Differentialgleichungen SS2007 Literatur

This chapter introduces the maple software package stochastic con- sisting of maple routines for stochastic calculus and stochastic differential equa- tions and for constructing

As it is shown in the following chapters, all of the studied stochastic differential equations are assumed to have nondegenerate noise term, and until now it is not clear whether

In the case of hyperbolic scalar conservation laws, Debussche and Vovelle [9] defined a notion of generalized kinetic solution and obtained a comparison result showing that

tightness is proved by means of compactness properties of fractional integrals, while the identification procedure uses results on preservation of the local martingale property

Nevertheless, since the regularity result of the present paper is based on properties of strongly elliptic operators, generalization to higher order equations does not cause

Abstract: A new proof of existence of weak solutions to stochastic differential equations with continuous coefficients based on ideas from infinite-dimensional stochastic analysis

The following notes provide a brief introduction into the theory of stochastic partial differential equations with particular emphasis on its applications to stochastic

Khoshnevisan, A primer on stochastic partial differential equations, in: A Mini- course on Stochastic Partial Differential Equations, R.. Dalang