Partial differential equations | Mathematical finance | Stochastic differential equations

Stochastic partial differential equation

Stochastic partial differential equations (SPDEs) generalize partial differential equations via random force terms and coefficients, in the same way ordinary stochastic differential equations generalize ordinary differential equations. They have relevance to quantum field theory, statistical mechanics, and spatial modeling. (Wikipedia).

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Math: Partial Differential Eqn. - Ch.1: Introduction (6 of 42) Partial Derivative Understood

Visit http://ilectureonline.com for more math and science lectures! In this video I will further explain what is partial differential equation by using a graphical example to explain what is a partial derivative of the equation u=f(x,y)=xy^2. Next video in this series can be seen at: ht

From playlist PARTIAL DIFFERENTIAL EQNS CH1 INTRODUCTION

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What are differential equations?

► My Differential Equations course: https://www.kristakingmath.com/differential-equations-course Differential equations are usually classified into two general categories: partial differential equations, which are also called partial derivatives, and ordinary differential equations. Part

From playlist Popular Questions

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Introduction to Differential Equations

Please Subscribe here, thank you!!! https://goo.gl/JQ8Nys Introduction to Differential Equations - The types of differential equations, ordinary versus partial. - How to find the order of a differential equation.

From playlist Differential Equations

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Felix Otto: Singular SPDE with rough coefficients

Abstract: We are interested in parabolic differential equations (∂t−a∂2x)u=f with a very irregular forcing f and only mildly regular coefficients a. This is motivated by stochastic differential equations, where f is random, and quasilinear equations, where a is a (nonlinear) function of u.

From playlist Probability and Statistics

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Math: Partial Differential Eqn. - Ch.1: Introduction (1 of 42) What is a Partial Differential Eqn?

Visit http://ilectureonline.com for more math and science lectures! In this video I will explain what is a partial differential equation. PDE is a differential equation that contains partial derivatives, and the dependent variable in the equation depends on more than 1 independent variab

From playlist PARTIAL DIFFERENTIAL EQNS CH1 INTRODUCTION

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Exact Differential Equations - Intro

Updated version available! https://youtu.be/qpPoI9gFF0g

From playlist Mathematical Physics I Youtube

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Duality between estimation and control - Sanjoy Mitter

PROGRAM: Data Assimilation Research Program Venue: Centre for Applicable Mathematics-TIFR and Indian Institute of Science Dates: 04 - 23 July, 2011 DESCRIPTION: Data assimilation (DA) is a powerful and versatile method for combining observational data of a system with its dynamical mod

From playlist Data Assimilation Research Program

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Homogenization and Correctors for Linear Stochastic Equations in.... by Mogtaba A. Y. Mohammed

DISCUSSION MEETING Multi-Scale Analysis: Thematic Lectures and Meeting (MATHLEC-2021, ONLINE) ORGANIZERS: Patrizia Donato (University of Rouen Normandie, France), Antonio Gaudiello (Università degli Studi di Napoli Federico II, Italy), Editha Jose (University of the Philippines Los Baño

From playlist Multi-scale Analysis: Thematic Lectures And Meeting (MATHLEC-2021) (ONLINE)

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Differential Equations: Exact DEs Introduction 2

In part two of the introduction to exact differential equations, we explore how exactness makes solving exact differential equations easier. We then lay down the theory of how to actually solve them.

From playlist Differential Equations

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Benjamin Gess - Fluctuations in non-equilibrium and stochastic PDE

Macroscopic fluctuation theory provides a general framework for far from equilibrium thermodynamics, based on a fundamental formula for large fluctuations around (local) equilibria. This fundamental postulate can be informally justified from the framework of fluctuating hydrodynamics, link

From playlist Research Spotlight

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Sebastian Ertel - An Ensemble Kalman-Bucy filter for correlated observation noise

Sebastian Ertel (Technical University of Berlin) presents, "An Ensemble Kalman-Bucy filter for correlated observation noise", 8/7/22.

From playlist Statistics Across Campuses

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45 Prof. K Balachandran

PROGRAM NAME :WINTER SCHOOL ON STOCHASTIC ANALYSIS AND CONTROL OF FLUID FLOW DATES Monday 03 Dec, 2012 - Thursday 20 Dec, 2012 VENUE School of Mathematics, Indian Institute of Science Education and Research, Thiruvananthapuram Stochastic analysis and control of fluid flow problems have

From playlist Winter School on Stochastic Analysis and Control of Fluid Flow

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Interview at Cirm: Martin Hairer

Interview at Cirm: Martin Hairer, Fields Medalist 2014 Currently Regius Professor of Mathematics at the Mathematics Department of The University of Warwick. Martin Hairer KBE FRS (born 14 November 1975 in Geneva, Switzerland) is an Austrian mathematician working in the field of stochastic

From playlist Jean-Morlet Chair - Khanin/Shlosman - 1st Semester 2017

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Chenchen Mou: "Weak solutions of second order master equations for MFGs with common noise"

High Dimensional Hamilton-Jacobi PDEs 2020 Workshop III: Mean Field Games and Applications "Weak solutions of second order master equations for mean field games with common noise" Chenchen Mou - University of California, Los Angeles (UCLA) Abstract: In this talk we study master equations

From playlist High Dimensional Hamilton-Jacobi PDEs 2020

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Sri Namachchivaya - Stability, dimensional reduction and data assimilation in random dynamical sy

PROGRAM: Nonlinear filtering and data assimilation DATES: Wednesday 08 Jan, 2014 - Saturday 11 Jan, 2014 VENUE: ICTS-TIFR, IISc Campus, Bangalore LINK:http://www.icts.res.in/discussion_meeting/NFDA2014/ The applications of the framework of filtering theory to the problem of data assimi

From playlist Nonlinear filtering and data assimilation

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Stochastic density functional theory....(Lecture 02) by David Dean

ORGANIZERS: Abhishek Dhar and Sanjib Sabhapandit DATE: 27 June 2018 to 13 July 2018 VENUE: Ramanujan Lecture Hall, ICTS Bangalore This advanced level school is the ninth in the series. This is a pedagogical school, aimed at bridging the gap between masters-level courses and topics in

From playlist Bangalore School on Statistical Physics - IX (2018)

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(0.3) Lesson: Classifying Differential Equations

This video explains how to classify differential equations based upon their properties https://mathispower4u.com

From playlist Differential Equations: Complete Set of Course Videos

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Separation of variables and the Schrodinger equation

A brief explanation of separation of variables, application to the time-dependent Schrodinger equation, and the solution to the time part. (This lecture is part of a series for a course based on Griffiths' Introduction to Quantum Mechanics. The Full playlist is at http://www.youtube.com/

From playlist Mathematical Physics II - Youtube

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Some solvable Stochastic Control Problems

At the 2013 SIAM Annual Meeting, Tyrone Duncan of the University of Kansas described stochastic control problems for continuous time systems where optimal controls and optimal costs can be explicitly determined by a direct method. The applicability of this method is demonstrated by example

From playlist Complete lectures and talks: slides and audio

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