Detail publikačního výsledku

Application of Stochastic Differential Equations

KLIMEŠOVÁ, M.; BAŠTINEC, J.

Originální název

Application of Stochastic Differential Equations

Anglický název

Application of Stochastic Differential Equations

Druh

Stať ve sborníku v databázi WoS či Scopus

Originální abstrakt

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.

Anglický abstrakt

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.

Klíčová slova

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

Klíčová slova v angličtině

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

Autoři

KLIMEŠOVÁ, M.; BAŠTINEC, J.

Vydáno

20.06.2014

Nakladatel

Vydavatelské oddělení UO

Místo

Brno

ISBN

978-80-7231-961-9

Kniha

Matematika, informatika a aplikované vědy

Strany od

1

Strany do

6

Strany počet

6

BibTex

@inproceedings{BUT108033,
  author="Marie {Klimešová} and Jaromír {Baštinec}",
  title="Application of Stochastic Differential Equations",
  booktitle="Matematika, informatika a aplikované vědy",
  year="2014",
  number="1",
  pages="1--6",
  publisher="Vydavatelské oddělení UO",
  address="Brno",
  isbn="978-80-7231-961-9"
}