#Fokker-Planck #Ito #Stochastic Differential Equations Itô calculus for the rest of us One of the areas of my research is stochastic differential equations (SDE). I posted about it several times before. One of the things students and collaborators keep asking me about SDEs is the weird … ...
#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. ...
#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 … ...
#ito #prize Kiyoshi Itô wins the Gauss Prize Kiyoshi Itô (90), professor emeritus at kyoto University, has become the first winner of the Gauss Prize. This prize is to honor scientist whose mathematical research has had an impact outside … ...
#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 ...