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In this paper, we introduce a new approach to constructing unbiased estimators when computing expectations of path functionals associated with stochastic differential equations (SDEs). Our randomizati...
Well-posedness and large deviation for degenerate SDEs with Sobolev coefficients
Well-posedness large deviation SDEs Sobolev coefficients
2010/3/11
In this article we prove the existence and uniqueness for degenerate stochastic differential
equations with Sobolev (possibly singular) drift and diffusion coefficients in a generalized
sense. In pa...
Nonlinear SDEs driven by Lévy processes and related PDEs
Particlesystems Propagationofchaos Nonlinear stochastic differential equations driven by Levy processes
2009/6/12
In this paper we study general nonlinear stochastic differential equations,where the usual Brownian motion is replaced by a Levy process.Moreover,we do not suppose that the coefficient multiplying the...