Publication detail

Solution of special type Stochastic Differential equation

BAŠTINEC, J. KLIMEŠOVÁ, M.

Original Title

Solution of special type Stochastic Differential equation

Type

conference paper

Language

English

Original Abstract

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.

Keywords

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

Authors

BAŠTINEC, J.; KLIMEŠOVÁ, M.

Released

27. 12. 2017

Publisher

STU Bratislava

Location

Bratislava

ISBN

978-80-227-4650-2

Book

Aplimat 2017, proceedings

Edition number

1

Pages from

69

Pages to

80

Pages count

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"
}