Milstein method
In mathematics, the Milstein method is a technique for the approximate numerical solution of a stochastic differential equation. It is named after who first published it in 1974.
Leimkuhler–Matthews method
The Leimkuhler-Matthews method (or LM method in its original paper ) is an algorithm for finding discretized solutions to the Brownian dynamics where is a constant and can be thought of as a potential
Regularity structure
Martin Hairer's theory of regularity structures provides a framework for studying a large class of subcritical parabolic stochastic partial differential equations arising from quantum field theory. Th
Stochastic differential equation
A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, resulting in a solution which is also a stochastic process. SDEs are used
Two-dimensional Yang–Mills theory
In mathematical physics, two-dimensional Yang–Mills theory is the special case of Yang–Mills theory in which the dimension of spacetime is taken to be two. This special case allows for a rigorously de
Convection–diffusion equation
The convection–diffusion equation is a combination of the diffusion and convection (advection) equations, and describes physical phenomena where particles, energy, or other physical quantities are tra
Telegraph process
In probability theory, the telegraph process is a memoryless continuous-time stochastic process that shows two distinct values. It models burst noise (also called popcorn noise or random telegraph sig
Zakai equation
In filtering theory the Zakai equation is a linear stochastic partial differential equation for the un-normalized density of a hidden state. In contrast, the Kushner equation gives a non-linear stocha
Dynkin's formula
In mathematics — specifically, in stochastic analysis — Dynkin's formula is a theorem giving the expected value of any suitably smooth statistic of an Itō diffusion at a stopping time. It may be seen
Runge–Kutta method (SDE)
In mathematics of stochastic systems, the Runge–Kutta method is a technique for the approximate numerical solution of a stochastic differential equation. It is a generalisation of the Runge–Kutta meth
Von Foerster equation
The McKendrick–von Foerster equation is a linear first-order partial differential equation encountered in several areas of mathematical biology – for example, demography and cell proliferation modelin
Itô diffusion
In mathematics – specifically, in stochastic analysis – an Itô diffusion is a solution to a specific type of stochastic differential equation. That equation is similar to the Langevin equation used in
Kardar–Parisi–Zhang equation
In mathematics, the Kardar–Parisi–Zhang (KPZ) equation is a non-linear stochastic partial differential equation, introduced by Mehran Kardar, Giorgio Parisi, and Yi-Cheng Zhang in 1986. It describes t
Stochastic processes and boundary value problems
In mathematics, some boundary value problems can be solved using the methods of stochastic analysis. Perhaps the most celebrated example is Shizuo Kakutani's 1944 solution of the Dirichlet problem for
Stochastic Gronwall inequality
Stochastic Gronwall inequality is a generalization of Gronwall's inequality and has been used for proving the well-posedness of path-dependent stochastic differential equations with local monotonicity
Kolmogorov backward equations (diffusion)
The Kolmogorov backward equation (KBE) (diffusion) and its adjoint sometimes known as the Kolmogorov forward equation (diffusion) are partial differential equations (PDE) that arise in the theory of c
Lenglart's inequality
In the mathematical theory of probability, Lenglart's inequality was proved by Èrik Lenglart in 1977. Later slight modifications are also called Lenglart's inequality.
Langevin equation
In physics, a Langevin equation (named after Paul Langevin) is a stochastic differential equation describing how a system evolves when subjected to a combination of deterministic and fluctuating ("ran
Green measure
In mathematics — specifically, in stochastic analysis — the Green measure is a measure associated to an Itō diffusion. There is an associated Green formula representing suitably smooth functions in te
Euler–Maruyama method
In Itô calculus, the Euler–Maruyama method (also called the Euler method) is a method for the approximate numerical solution of a stochastic differential equation (SDE). It is an extension of the Eule
Reversible diffusion
In mathematics, a reversible diffusion is a specific example of a reversible stochastic process. Reversible diffusions have an elegant characterization due to the Russian mathematician Andrey Nikolaev
Magnus expansion
In mathematics and physics, the Magnus expansion, named after Wilhelm Magnus (1907–1990), provides an exponential representation of the solution of a first-order homogeneous linear differential equati
Filtering problem (stochastic processes)
In the theory of stochastic processes, filtering describes the problem of determining the state of a system from an incomplete and potentially noisy set of observations. While originally motivated by
Freidlin–Wentzell theorem
In mathematics, the Freidlin–Wentzell theorem (due to Mark Freidlin and Alexander D. Wentzell) is a result in the large deviations theory of stochastic processes. Roughly speaking, the Freidlin–Wentze
Infinitesimal generator (stochastic processes)
In mathematics — specifically, in stochastic analysis — the infinitesimal generator of a Feller process (i.e. a continuous-time Markov process satisfying certain regularity conditions) is a Fourier mu
McKean–Vlasov process
In probability theory, a McKean–Vlasov process is a stochastic process described by a stochastic differential equation where the coefficients of the diffusion depend on the distribution of the solutio
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 generali
Chan–Karolyi–Longstaff–Sanders process
In mathematics, the Chan–Karolyi–Longstaff–Sanders process (abbreviated as CKLS process) is a stochastic process with applications to finance. In particular it has been used to model the term structur
Random dynamical system
In the mathematical field of dynamical systems, a random dynamical system is a dynamical system in which the equations of motion have an element of randomness to them. Random dynamical systems are cha
Switching Kalman filter
The switching Kalman filtering (SKF) method is a variant of the Kalman filter. In its generalised form, it is often attributed to Kevin P. Murphy, but related switching state-space models have been in
Kalman filter
For statistics and control theory, Kalman filtering, also known as linear quadratic estimation (LQE), is an algorithm that uses a series of measurements observed over time, including statistical noise
Ornstein–Uhlenbeck process
In mathematics, the Ornstein–Uhlenbeck process is a stochastic process with applications in financial mathematics and the physical sciences. Its original application in physics was as a model for the
Generalized filtering
Generalized filtering is a generic Bayesian filtering scheme for nonlinear state-space models. It is based on a variational principle of least action, formulated in generalized coordinates of motion.
Hörmander's condition
In mathematics, Hörmander's condition is a property of vector fields that, if satisfied, has many useful consequences in the theory of partial and stochastic differential equations. The condition is n
Wiener equation
A simple mathematical representation of Brownian motion, the Wiener equation, named after Norbert Wiener, assumes the current velocity of a fluid particle fluctuates randomly: where v is velocity, x i
Tanaka equation
In mathematics, Tanaka's equation is an example of a stochastic differential equation which admits a weak solution but has no strong solution. It is named after the Japanese mathematician Hiroshi Tana
Grönwall's inequality
In mathematics, Grönwall's inequality (also called Grönwall's lemma or the Grönwall–Bellman inequality) allows one to bound a function that is known to satisfy a certain differential or by the solutio
Doléans-Dade exponential
In stochastic calculus, the Doléans-Dade exponential or stochastic exponential of a semimartingale X is the unique strong solution of the stochastic differential equation where denotes the process of