Stochastic Partial Differential Equation
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Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. 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. However, they have strong connections with quantum field theory and statistical mechanics. 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 fluctuating stock prices or physical system subject to thermal fluctuations. Typically, SDEs incorporate white noise which can be thought of as the derivative of Brownian motion (or the Wiener process); however, it should be mentioned that other types of random fluctuations are possible, such as jump processes.
Uitgever Lambert M. Surhone
Uitgever Mariam T. Tennoe
Uitgever Susan F. Henssonow
Product type Paperback
Maat 220 mm