Detail publikačního výsledku

Solution of special type Stochastic Differential equation

BAŠTINEC, J.; KLIMEŠOVÁ, M.

Originální název

Solution of special type Stochastic Differential equation

Anglický název

Solution of special type Stochastic Differential equation

Druh

Stať ve sborníku v databázi WoS či Scopus

Originální abstrakt

The natural world is influenced by randomness therefore stochastic models are used to test various situations because only the stochastic model can approximate the real model. This article studies the solution of stochastic differential linear equations and systems of stochastic differential equations with Brownian motion. There is used a Itó formula for proofs of main results. Results are illustrated by examples.

Anglický abstrakt

The natural world is influenced by randomness therefore stochastic models are used to test various situations because only the stochastic model can approximate the real model. This article studies the solution of stochastic differential linear equations and systems of stochastic differential equations with Brownian motion. There is used a Itó formula for proofs of main results. Results are illustrated by examples.

Klíčová slova

stochastic differential equation, matrix, Itó formula, existence of solution, stability

Klíčová slova v angličtině

stochastic differential equation, matrix, Itó formula, existence of solution, stability

Autoři

BAŠTINEC, J.; KLIMEŠOVÁ, M.

Rok RIV

2018

Vydáno

27.12.2017

Nakladatel

STU Bratislava

Místo

Bratislava

ISBN

978-80-227-4650-2

Kniha

Aplimat 2017, proceedings

Strany od

69

Strany do

80

Strany počet

12

URL

http://evlm.stuba.sk/APLIMAT/indexe.htm

BibTex

@inproceedings{BUT133459,
  author="Jaromír {Baštinec} and Marie {Klimešová}",
  title="Solution of special type Stochastic Differential equation",
  booktitle="Aplimat 2017, proceedings",
  year="2017",
  number="1",
  pages="69--80",
  publisher="STU Bratislava",
  address="Bratislava",
  isbn="978-80-227-4650-2",
  url="http://evlm.stuba.sk/APLIMAT/indexe.htm"
}