Stochastic differential equationA 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 have many applications throughout pure mathematics and are used to model various behaviours of stochastic models such as stock prices, random growth models or physical systems that are subjected to thermal fluctuations. SDEs have a random differential that is in the most basic case random white noise calculated as the derivative of a Brownian motion or more generally a semimartingale.
Stochastic partial differential equationStochastic 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. One of the most studied SPDEs is the stochastic heat equation, which may formally be written as where is the Laplacian and denotes space-time white noise.
Stratonovich integralIn stochastic processes, the Stratonovich integral or Fisk–Stratonovich integral (developed simultaneously by Ruslan Stratonovich and Donald Fisk) is a stochastic integral, the most common alternative to the Itô integral. Although the Itô integral is the usual choice in applied mathematics, the Stratonovich integral is frequently used in physics. In some circumstances, integrals in the Stratonovich definition are easier to manipulate. Unlike the Itô calculus, Stratonovich integrals are defined such that the chain rule of ordinary calculus holds.
Itô calculusItô calculus, named after Kiyosi Itô, extends the methods of calculus to stochastic processes such as Brownian motion (see Wiener process). It has important applications in mathematical finance and stochastic differential equations. The central concept is the Itô stochastic integral, a stochastic generalization of the Riemann–Stieltjes integral in analysis. The integrands and the integrators are now stochastic processes: where H is a locally square-integrable process adapted to the filtration generated by X , which is a Brownian motion or, more generally, a semimartingale.
Stochastic calculusStochastic calculus is a branch of mathematics that operates on stochastic processes. It allows a consistent theory of integration to be defined for integrals of stochastic processes with respect to stochastic processes. This field was created and started by the Japanese mathematician Kiyosi Itô during World War II. The best-known stochastic process to which stochastic calculus is applied is the Wiener process (named in honor of Norbert Wiener), which is used for modeling Brownian motion as described by Louis Bachelier in 1900 and by Albert Einstein in 1905 and other physical diffusion processes in space of particles subject to random forces.
Schrödinger equationThe Schrödinger equation is a linear partial differential equation that governs the wave function of a quantum-mechanical system. Its discovery was a significant landmark in the development of quantum mechanics. The equation is named after Erwin Schrödinger, who postulated the equation in 1925 and published it in 1926, forming the basis for the work that resulted in his Nobel Prize in Physics in 1933. Conceptually, the Schrödinger equation is the quantum counterpart of Newton's second law in classical mechanics.
Differential equationIn mathematics, a differential equation is an equation that relates one or more unknown functions and their derivatives. In applications, the functions generally represent physical quantities, the derivatives represent their rates of change, and the differential equation defines a relationship between the two. Such relations are common; therefore, differential equations play a prominent role in many disciplines including engineering, physics, economics, and biology.
Wave equationThe (two-way) wave equation is a second-order linear partial differential equation for the description of waves or standing wave fields - as they occur in classical physics - such as mechanical waves (e.g. water waves, sound waves and seismic waves) or electromagnetic waves (including light waves). It arises in fields like acoustics, electromagnetism, and fluid dynamics. Single mechanical or electromagnetic waves propagating in a pre-defined direction can also be described with the first-order one-way wave equation, which is much easier to solve and also valid for inhomogeneous media.
Uniform continuityIn mathematics, a real function of real numbers is said to be uniformly continuous if there is a positive real number such that function values over any function domain interval of the size are as close to each other as we want. In other words, for a uniformly continuous real function of real numbers, if we want function value differences to be less than any positive real number , then there is a positive real number such that at any and in any function interval of the size .
Signed measureIn mathematics, signed measure is a generalization of the concept of (positive) measure by allowing the set function to take negative values. There are two slightly different concepts of a signed measure, depending on whether or not one allows it to take infinite values. Signed measures are usually only allowed to take finite real values, while some textbooks allow them to take infinite values. To avoid confusion, this article will call these two cases "finite signed measures" and "extended signed measures".
Distribution (mathematics)Distributions, also known as Schwartz distributions or generalized functions, are objects that generalize the classical notion of functions in mathematical analysis. Distributions make it possible to differentiate functions whose derivatives do not exist in the classical sense. In particular, any locally integrable function has a distributional derivative. Distributions are widely used in the theory of partial differential equations, where it may be easier to establish the existence of distributional solutions (weak solutions) than classical solutions, or where appropriate classical solutions may not exist.
Laurent SchwartzLaurent-Moïse Schwartz (ʃvaʁts; 5 March 1915 – 4 July 2002) was a French mathematician. He pioneered the theory of distributions, which gives a well-defined meaning to objects such as the Dirac delta function. He was awarded the Fields Medal in 1950 for his work on the theory of distributions. For several years he taught at the École polytechnique. Laurent Schwartz came from a Jewish family of Alsatian origin, with a strong scientific background: his father was a well-known surgeon, his uncle Robert Debré (who contributed to the creation of UNICEF) was a famous pediatrician, and his great-uncle-in-law, Jacques Hadamard, was a famous mathematician.
Heat equationIn mathematics and physics, the heat equation is a certain partial differential equation. Solutions of the heat equation are sometimes known as caloric functions. The theory of the heat equation was first developed by Joseph Fourier in 1822 for the purpose of modeling how a quantity such as heat diffuses through a given region. As the prototypical parabolic partial differential equation, the heat equation is among the most widely studied topics in pure mathematics, and its analysis is regarded as fundamental to the broader field of partial differential equations.
Hölder conditionIn mathematics, a real or complex-valued function f on d-dimensional Euclidean space satisfies a Hölder condition, or is Hölder continuous, when there are real constants C ≥ 0, α > 0, such that for all x and y in the domain of f. More generally, the condition can be formulated for functions between any two metric spaces. The number α is called the exponent of the Hölder condition. A function on an interval satisfying the condition with α > 1 is constant. If α = 1, then the function satisfies a Lipschitz condition.
Outer measureIn the mathematical field of measure theory, an outer measure or exterior measure is a function defined on all subsets of a given set with values in the extended real numbers satisfying some additional technical conditions. The theory of outer measures was first introduced by Constantin Carathéodory to provide an abstract basis for the theory of measurable sets and countably additive measures.
Supersymmetric theory of stochastic dynamicsSupersymmetric theory of stochastic dynamics or stochastics (STS) is an exact theory of stochastic (partial) differential equations (SDEs), the class of mathematical models with the widest applicability covering, in particular, all continuous time dynamical systems, with and without noise. The main utility of the theory from the physical point of view is a rigorous theoretical explanation of the ubiquitous spontaneous long-range dynamical behavior that manifests itself across disciplines via such phenomena as 1/f, flicker, and crackling noises and the power-law statistics, or Zipf's law, of instantonic processes like earthquakes and neuroavalanches.
Measure (mathematics)In mathematics, the concept of a measure is a generalization and formalization of geometrical measures (length, area, volume) and other common notions, such as magnitude, mass, and probability of events. These seemingly distinct concepts have many similarities and can often be treated together in a single mathematical context. Measures are foundational in probability theory, integration theory, and can be generalized to assume negative values, as with electrical charge.
One-way wave equationA one-way wave equation is a first-order partial differential equation describing one wave traveling in a direction defined by the vector wave velocity. It contrasts with the second-order two-way wave equation describing a standing wavefield resulting from superposition of two waves in opposite directions. In the one-dimensional case, the one-way wave equation allows wave propagation to be calculated without the mathematical complication of solving a 2nd order differential equation.
Integral equationIn mathematics, integral equations are equations in which an unknown function appears under an integral sign. In mathematical notation, integral equations may thus be expressed as being of the form: where is an integral operator acting on u. Hence, integral equations may be viewed as the analog to differential equations where instead of the equation involving derivatives, the equation contains integrals.
Complex measureIn mathematics, specifically measure theory, a complex measure generalizes the concept of measure by letting it have complex values. In other words, one allows for sets whose size (length, area, volume) is a complex number. Formally, a complex measure on a measurable space is a complex-valued function that is sigma-additive. In other words, for any sequence of disjoint sets belonging to , one has As for any permutation (bijection) , it follows that converges unconditionally (hence absolutely).
