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Stochastic differential equations and application of the Kalman-Bucy filter in the modeling of RC circuit
Stochastic Differential Equation white noise
2010/9/21
The filtering problem have an important role in the theory of stochastic differential equations(SDEs). In this paper, we present an application of the continuous Kalman-Bucy filter for a RC circuit. T...
Convergence of the Euler-Maruyama method for stochastic differential equations with respect to semimartingales
Itˆ o’s formula Euler-Maruyama method Lipschitz condition
2010/9/16
In this paper, we study the stochastic differential equations with respect to semimartingales and the property of convergence of the Euler-Maruyama scheme approximations to the exact solutions.
Infinite Interval Backward Stochastic Differential Equations in the Plane
two-parameter mixed type BSDE
2007/12/10
This paper studies the existence and uniqueness of solution of infinite interval backward stochastic differential equation (BSDE) in the plane driven by a Brownian sheet.
