Calculo Estocastico, EDEs y EDPs
Probability
2015-04-15 v1
Authors:
Rafael Serrano
Abstract
This manuscript is a self-contained overview of essential results of stochastic calculus and stochastic differential equations, and their connection with final-value problems for second order linear PDEs.
Cite
@article{arxiv.1504.03390,
title = {Calculo Estocastico, EDEs y EDPs},
author = {Rafael Serrano},
journal= {arXiv preprint arXiv:1504.03390},
year = {2015}
}
Comments
in Spanish
Related papers
View all related →
Probability · Mathematics
Second order backward stochastic differential equations and fully non-linear parabolic PDEs
Patrick Cheridito, H. Mete Soner, Nizar Touzi, Nicolas Victoir
2007-05-23
Probability · Mathematics
Classical Solutions of Path-dependent PDEs and Functional Forward-Backward Stochastic Systems
Shaolin Ji, Shuzhen Yang
2012-04-18
Mathematical Physics · Physics
Stochastic solutions of nonlinear PDE's and an extension of superprocesses
Rui Vilela Mendes
2012-09-17
History and Philosophy of Physics · Physics
On some functional transformations relative to linear PDEs of second order
Jean Delsarte
2007-05-23
Machine Learning · Computer Science
Robust SDE-Based Variational Formulations for Solving Linear PDEs via Deep Learning
Lorenz Richter, Julius Berner
2022-08-08
Numerical Analysis · Mathematics
Pathwise Iteration for Backward SDEs
Christian Bender, Christian Gaertner, Nikolaus Schweizer
2016-06-24
Mathematical Finance · Quantitative Finance
Introduction to Stochastic Differential Equations (SDEs) for Finance
Andrew Papanicolaou
2019-01-03
Probability · Mathematics
A probabilistic approach to Dirichlet problems of semilinear elliptic PDEs with singular coefficients
Tusheng Zhang
2012-11-19
Probability · Mathematics
Numerical Computations for Backward Doubly SDEs and SPDEs
Yufeng Shi, Weiqiang Yang, Jing Yuan
2008-06-05
Analysis of PDEs · Mathematics
Partial Differential Equations An Introduction
A. D. R. Choudary, Saima Parveen, Constantin Varsan
2010-04-14
Probability · Mathematics
Understanding stochastic differential equations
Pat Muldowney
2014-09-17
Numerical Analysis · Mathematics
Differentiating through Stochastic Differential Equations: A Primer
Rishi Leburu, Levon Nurbekyan, Lars Ruthotto
2026-01-14
Probability · Mathematics
Numerical computation of probabilities for nonlinear SDEs in high dimension using Kolmogorov equation
Franco Flandoli, Dejun Luo, Cristiano Ricci
2024-04-25
Probability · Mathematics
Stochastic differential equations with jumps
Richard F. Bass
2007-05-23
Computational Physics · Physics
The stochastic counterpart of conservation laws with heterogeneous conductivity fields: application to deterministic problems and uncertainty quantification
Amir H. Delgoshaie, Peter W. Glynn, Patrick Jenny, Hamdi A. Tchelepi
2018-11-19
Probability · Mathematics
Existence and Uniqueness of Stochastic PDEs associated with the Forward Equations: An Approach using Alternate Norms
Suprio Bhar, Rajeev Bhaskaran, Arvind Kumar Nath
2023-08-22
Analysis of PDEs · Mathematics
A Self-dual Variational Approach to Stochastic Partial Differential Equations
Shirin Boroushaki, Nassif Ghoussoub
2018-02-08
Probability · Mathematics
Quasilinear Stochastic PDEs with two obstacles: Probabilistic approach
Laurent Denis, Anis Matoussi, Jing Zhang
2020-12-08
Probability · Mathematics
Boundary value problems for functionals of Ito processes
Nikolai Dokuchaev
2012-09-10
Analysis of PDEs · Mathematics
Fuzzy-Stochastic Partial Differential Equations
Mohammad Motamed
2019-06-11
Probability · Mathematics
L^{p}-solutions of backward doubly stochastic differential equations
Auguste Aman
2011-08-04
Probability · Mathematics
A Class of Backward Doubly Stochastic Differential Equations with Discontinuous Coefficients
Qingfeng Zhu, Yufeng Shi
2010-05-17
Analysis of PDEs · Mathematics
The method of stochastic characteristics for linear second-order hypoelliptic equations
Juraj Foldes, David Herzog
2021-12-14
Probability · Mathematics
Explicitly Constrained Stochastic Differential Equations on Manifolds
Sumit Suthar, Soumyendu Raha
2023-07-28
Machine Learning · Computer Science
SDEs for Minimax Optimization
Enea Monzio Compagnoni, Antonio Orvieto, Hans Kersting, Frank Norbert Proske +1
2024-02-21