Publication detail

Application of Stochastic Differential Equations

KLIMEŠOVÁ, M. BAŠTINEC, J.

Original Title

Application of Stochastic Differential Equations

English Title

Application of Stochastic Differential Equations

Type

conference paper

Language

en

Original Abstract

Stochastic differential equations (the SDE) are used to describe physical phenomena. Solution of the stochastic model is a random process. Objective of the analysis of random processes is the construction of an appropriate model, which allows understanding the mechanisms. On their basis observed data are generated. Knowledge of the model also allows forecasting the future and it is possible to control and optimize the activity of the applicable system. In the presented contribution is to first defined probability space and Wiener process. On this basis it is defined the SDE and the basic properties are indicated. The final part contains examples illustrating the use of the SDE in practice.

English abstract

Stochastic differential equations (the SDE) are used to describe physical phenomena. Solution of the stochastic model is a random process. Objective of the analysis of random processes is the construction of an appropriate model, which allows understanding the mechanisms. On their basis observed data are generated. Knowledge of the model also allows forecasting the future and it is possible to control and optimize the activity of the applicable system. In the presented contribution is to first defined probability space and Wiener process. On this basis it is defined the SDE and the basic properties are indicated. The final part contains examples illustrating the use of the SDE in practice.

Keywords

random process, stochastic differential equations, Brownian motion, Wiener process, application

RIV year

2014

Released

20.06.2014

Publisher

Vydavatelské oddělení UO

Location

Brno

ISBN

978-80-7231-961-9

Book

Matematika, informatika a aplikované vědy

Edition number

1

Pages from

1

Pages to

6

Pages count

6

Documents

BibTex


@inproceedings{BUT108033,
  author="Marie {Klimešová} and Jaromír {Baštinec}",
  title="Application of Stochastic Differential Equations",
  annote="Stochastic differential equations (the SDE) are used to describe physical phenomena. Solution of the stochastic model is a random process. Objective of the analysis of random processes is the construction of an appropriate model, which allows understanding the mechanisms. On their basis observed data are generated. Knowledge of the model also allows forecasting the future and it is possible to control and optimize the activity of the applicable system. In the presented contribution is to first defined probability space and Wiener process. On this basis it is defined the SDE and the basic properties are indicated. The final part contains examples illustrating the use of the SDE in practice.",
  address="Vydavatelské oddělení UO",
  booktitle="Matematika, informatika a aplikované vědy",
  chapter="108033",
  howpublished="print",
  institution="Vydavatelské oddělení UO",
  year="2014",
  month="june",
  pages="1--6",
  publisher="Vydavatelské oddělení UO",
  type="conference paper"
}