STOCHASTIC DIFFERENTIAL EQUATIONS ON MANIFOLDS

K. D. Elworthy

doi:10.1017/cbo9781107325609.009

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STOCHASTIC DIFFERENTIAL EQUATIONS ON MANIFOLDS

K. D. Elworthy

Year: 1982 Cambridge University Press eBooks Pages: 111-186 Publisher: Cambridge University Press

DOI: 10.1017/cbo9781107325609.009

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Abstract

We will define stochastic differential equations on manifolds in a way which will make them look as simi.lar to ordinary differential equations as possible. It may be helpful to keep in mind the fact that ordinary differential equations will be a special case of our stochastic differential equations.

Keywords:

Stochastic partial differential equation Stochastic differential equation Mathematics Integrating factor Differential algebraic equation Runge–Kutta method Examples of differential equations Ordinary differential equation Geometric analysis Differential equation Mathematical analysis Numerical partial differential equations Applied mathematics

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Matrix Theory and Algorithms

Physical Sciences → Computer Science → Computational Theory and Mathematics

Differential Equations and Numerical Methods

Physical Sciences → Mathematics → Numerical Analysis

Differential Equations and Boundary Problems

Physical Sciences → Mathematics → Applied Mathematics

STOCHASTIC DIFFERENTIAL EQUATIONS ON MANIFOLDS

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