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stochastic differential

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  • Stochastic differential equation — A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, thus resulting in a solution which is itself a stochastic process. SDE are used to model diverse phenomena such as… …   Wikipedia

  • stochastic differential equation — noun a type of differential equation in which one or more of the terms is a stochastic process resulting in a solution which is itself a stochastic process Syn: SDE …   Wiktionary

  • Stochastic volatility — models are used in the field of quantitative finance to evaluate derivative securities, such as options. The name derives from the models treatment of the underlying security s volatility as a random process, governed by state variables such as… …   Wikipedia

  • Stochastic partial differential equation — Stochastic partial differential equations (SPDEs) are similar to ordinary stochastic differential equations. They are essentially partial differential equations that have additional random terms. They can be exceedingly difficult to solve.… …   Wikipedia

  • Differential equation — Not to be confused with Difference equation. Visualization of heat transfer in a pump casing, created by solving the heat equation. Heat is being generated internally in the casing and being cooled at the boundary, providing a steady state… …   Wikipedia

  • Differential (mathematics) — In mathematics, the term differential has several meanings. Contents 1 Basic notions 2 Differential geometry 3 Algebraic geometry 4 Other meanings …   Wikipedia

  • Differential (calculus) — In mathematics, and more specifically, in differential calculus, the term differential has several interrelated meanings.Basic notions* In traditional approaches to calculus, the differential (e.g. dx, dy, dt, etc...) of a function represents an… …   Wikipedia

  • Stochastic processes and boundary value problems — In mathematics, some boundary value problems can be solved using the methods of stochastic analysis. Perhaps the most celebrated example is Shizuo Kakutani s 1944 solution of the Dirichlet problem for the Laplace operator using Brownian motion.… …   Wikipedia

  • Differential game — In game theory, differential games are a group of problems related to the modeling and analysis of conflict in the context of a dynamical system. The problem usually consists of two actors, a pursuer and an evader, with conflicting goals. The… …   Wikipedia

  • Stochastic tunneling — (STUN) is an approach to global optimization based on the Monte Carlo method sampling of the function to be minimized. Idea Monte Carlo method based optimization techniques sample the objective function by randomly hopping from the current… …   Wikipedia

  • Stochastic process — A stochastic process, or sometimes random process, is the counterpart to a deterministic process (or deterministic system) in probability theory. Instead of dealing with only one possible reality of how the process might evolve under time (as is… …   Wikipedia

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