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Applications to Stochastic Ordinary Differential Equations

  • Helge Holden
  • Bernt Øksendal
  • Jan Ubøe
  • Tusheng Zhang
Chapter
Part of the Universitext book series (UTX)

Abstract

As mentioned in the introduction, the framework that we developed in Chapter 2 for the main purpose of solving stochastic partial differential equations, can also be used to obtain new results – as well as new proofs of old results – for stochastic ordinary differential equations. In this chapter we will illustrate this by discussing some important examples.

Keywords

Brownian Motion Sample Path Geometric Brownian Motion Stochastic Environment Ordinary Product 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  • Helge Holden
    • 1
    • 2
  • Bernt Øksendal
    • 3
  • Jan Ubøe
    • 4
  • Tusheng Zhang
    • 5
  1. 1.Department of Mathematical SciencesNorwegian University of Science and TechnologyTrondheimNorway
  2. 2.Center of Mathematics and Applications University of OsloOsloNorway
  3. 3.Department of MathematicsUniversity of OsloOsloNorway
  4. 4.Department of EconomicsNorwegian School of Economics and Business AdministrationBergenNorway
  5. 5.University of Manchester School of MathematicsManchesterUK

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