Search results with tag "Stochastic di"
Analysis of Multiscale Methods for Stochastic Di erential ...
web.math.princeton.eduAnalysis of Multiscale Methods for Stochastic Di erential Equations WEINAN E ... ERIC VANDEN-EIJNDEN Courant Institute Abstract We analyze a class of numerical schemes proposed in [25] for stochastic di erential equations with multiple time-scales. Both advective and di usive time-scales are con- ... in the limit of " ! 0 is a stochastic di ...
Optimal Control Theory - University of Washington
homes.cs.washington.eduEquations (1, 3, 4) generalize to the stochastic case in the same way as equation (2) does. An optimal control problem with discrete states and actions and probabilistic state ... Consider the stochastic di⁄erential equation dx = f (x;u)dt+F (x;u)dw (6) where dw is n w-dimensional Brownian motion. This is sometimes called a controlled Ito
A Brief Introduction to Stochastic Calculus
www.columbia.edu2.1 Stochastic Di erential Equations De nition 9 An n-dimensional It^o process, X t, is a process that can be represented as X t = X 0 + a. = a: (7) 2 3 a 4. A Brief Introduction to Stochastic Calculus 6 1)) + ( )) + ( ) = : = + @) = ) +) + @) ...