预测SDEs对子多元的预测
John Armstrong1, Damiano Brigo2, Emilio Ferrucci3
1Department of Mathematics, King's College London, London, UK.
概括
本研究介绍了对多元体上随机微分方程 (SDEs) 的斯特拉托诺维奇,伊托向量和伊托射线投影的无坐标描述. 伊托-向量和伊托-喷射投影证明了小时间间隔的最佳性标准.
科学领域:
- 随机分析 随机分析
- 不同几何学微分几何学
- 数学物理 数学物理
背景情况:
- 对于模拟复杂系统而言,多元体上的随机微分方程 (SDEs) 是至关重要的.
- 现有的作品定义了像斯特拉托诺维奇,伊托-向量和伊托-射线这样的投影,但缺乏无坐标描述.
研究的目的:
- 为多重值的SDE投影提供自然的,无坐标的描述.
- 在环境欧几里德坐标中推导这些投影的公式.
- 分析伊托-向量和伊托-喷射投影的最佳性标准.
主要方法:
- 开发多重值SDEs的无坐标表示.
- 在环境 R^d 坐标中推导投影公式.
- 解决受约束的优化问题以建立最佳性标准.
主要成果:
- 对于斯特拉托诺维奇,伊托向量和伊托射线投影的无坐标描述已经建立.
- 在环境 R^d 坐标中的投影得到了明确的公式.
- 伊托-向量和伊托-喷射投影分别满足微弱和平均正方形的最佳性标准,用于小的时间间隔.
结论:
- 无坐标方法提供了一个自然的框架,用于理解SDE在多元体上的投影.
- 导出的最佳性标准证实了使用新方法的先前发现.
- 示例说明了投影的不同行为,并建议进一步探索最佳性的途径.
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