#brownian motion #ito #stochastic differential equation #wiener

Introduction to stochastic differential equations

Stochastic differential equations (SDEs) are basically inhomogenous ordinary differential equations that depend on an external stochastic process. Typically, that stochastic process is white noise, which is the mathematical idealization of the noise found in nature. This idealization is handy, because it simplifies the mathematical description. However, this idealization comes at some cost: traditional calculus is no longer valid and you have to use the so-call Itô calculus. This introduces some non intuitive changes. ...

#ito #stochastic differential equation #wiener

Kiyoshi Itô, 93, dies

November was a rather sad month in the world of stochastic differential equations. In the 26th we were suppose to be celebrating the birth of one of the best mathematicians in history, Norbert Wiener, who gives name to the Wiener process, usually denoted W(t). However, in the 10th, Kiyoshi Itô, the father of stochastic differential equations, passed away. Interestingly both are present in a simple stochastic differential equation like this ...

#Fluid #Stochastic Differential Equation #Simulation

Spreading of Viscous Fluid Drops on a Solid Substrate Assisted by Thermal Fluctuations

Authors: Benny Davidovitch, Esteban Moro, and Howard A. Stone Journal: Physical Review Letters 95, 244505 (2005). LINK Abstract: We study the spreading of viscous drops on a solid substrate, taking into account the effects of thermal fluctuations in the fluid momentum. A nonlinear stochastic lubrication equation is derived and studied using numerical simulations and scaling analysis. We show that asymptotically spreading drops admit self-similar shapes, whose average radii can increase at rates much faster than these predicted by Tanner’s law. ...

#Stochastic Differential Equation #Simulation #Ito #Finance #Stock Market

Boundary preserving semi-analytical numerical algorithms for stochastic differential equations

Authors: Esteban Moro and Henri Schurz Journal: SIAM Journal of Scientific Computing, Volume 29 Issue 4, Pages 1525-1549 (2007). LINK | arXiv Abstract: Construction of splitting-step methods and properties of related non-negativity andboundary preserving numerical algorithms for solving stochastic differential equations (SDEs) of Ito-type are discussed. We present convergence proofs for a newly designed splitting-step algorithm and simulation studies for numerous numerical examples ranging from stochastic dynamics occurring in asset pricing theory in mathematical finance (SDEs of CIR and CEV models) to measure-valued diffusion and superBrownian motion (SPDEs) as met in biology and physics. ...

#Fisher #Front #Simulation #Stochastic #Stochastic Differential Equation

Numerical schemes for continuum models of reaction-diffusion systems subject to internal noise

Authors: Esteban Moro Journal: Physical Review E (Rapid Communication) 70, 045102 (2004). LINK | arXiv Abstract: We present numerical schemes to integrate stochastic partial differential equations which describe the spatiotemporal dynamics of reaction-diffusion problems under the effect of internal fluctuations. The schemes conserve the non-negativity of the solutions and incorporate the Poissonian nature of internal fluctuations at small densities, their performance being limited by the level of approximation of density fluctuations at small scales. ...

#Fisher #Front #Monte Carlo #Simulation #Stochastic #Stochastic Differential Equation

Emergence of pulled fronts in fermionic microscopic particle models

Authors: Esteban Moro Phys. Rev. E, Rapid Communication, 68, 025102 (2003). LINK | arXiv Abstract: We study the emergence and dynamics of pulled fronts described by the Fisher-Kolmogorov-Petrovsky-Piscounov (FKPP) equation in the microscopic reaction-diffusion process \(A\leftrightarrow A+A\) on the lattice when only a particle is allowed per site. To this end we identify the parameter that controls the strength of internal fluctuations in this model, namely, the number of particles per correlated volume. ...