Category
page 1Stochastic differential equations
Kalman filter
algorithm that estimates unknowns from a series of measurements over time
stochastic differential equation
differential equations involving stochastic processes
Fokker–Planck equation
partial differential equation
Langevin equation
stochastic differential equation
convection–diffusion equation
combination of the diffusion and convection (advection) equations
Gronwall's inequality
theorem that gives bounds on integrals of functions
Ornstein–Uhlenbeck process
stochastic process with applications in financial mathematics and the physical sciences
Euler–Maruyama method
method for the approximate numerical solution of stochastic differential equations
Kardar–Parisi–Zhang equation
A non-linear stochastic partial differential equation
telegraph process
memoryless continuous-time stochastic process that shows two distinct values