Repository logo
  • English
  • Italiano
  • Log In
    Have you forgotten your password?
Repository logo
Repository logo
  • Archive
  • Series/Journals
  • EUT
  • Events
  • Statistics
  • English
  • Italiano
  • Log In
    Have you forgotten your password?
  1. Home
  2. EUT Edizioni Università di Trieste
  3. Periodici
  4. Rendiconti dell’Istituto di Matematica dell’Università di Trieste: an International Journal of Mathematics
  5. Rendiconti dell'Istituto di Matematica dell'Università di Trieste: an International Journal of Mathematics vol.32 (2000)
  6. An analytical introduction to stochastic differential equations: Part I - the Langevin equation
 
  • Details
  • Metrics
Options

An analytical introduction to stochastic differential equations: Part I - the Langevin equation

Clément, Ph.
•
van Gaans, O. W.
2000
Loading...
Thumbnail Image
ISSN
0049-4704
http://hdl.handle.net/10077/4265
  • Article

Abstract
We present an introduction to the theory of stochastic differential equations, motivating and explaining ideas from the point of view of analysis. First the notion of white noise is developed, introducing at the same time probabilistic tools. Then the one dimensional Langevin equation is formulated as a deterministic integral equation with a parameter. Its solution leads to stochastic convolution, which is defined as a Riemann-Stieltjes integral. It is shown that the parameter dependence yields a Gaussian system, of which the means and covariances arde computed. We conclude by introducing briefly the notion of invariant measure and the associated Kolmogorov equations.
Series
Rendiconti dell’Istituto di Matematica dell’Università di Trieste. An International Journal of Mathematics
32 (2000)
Publisher
Università degli Studi di Trieste. Dipartimento di Scienze Matematiche
Source
Ph. Clément and O. W. van Gaans, "An analytical introduction to stochastic differential equations: Part I - the Langevin equation", in: Rendiconti dell’Istituto di Matematica dell’Università di Trieste. An International Journal of Mathematics, 32 (2000), pp. 217-269.
Languages
en
File(s)
Loading...
Thumbnail Image
Download
Name

ClementVanGaansRendMat32.pdf

Format

Adobe PDF

Size

416.54 KB

Indexed by

 Info

Open Access Policy

Share/Save

 Contacts

EUT Edizioni Università di Trieste

OpenstarTs

 Link

Wiki OpenAcces

Archivio Ricerca ArTS

Built with DSpace-CRIS software - Extension maintained and optimized by 4Science

  • Cookie settings
  • Privacy policy
  • End User Agreement
  • Send Feedback