A review on stochastic differential equations for applications in hydrology
type: Item
instance of: scholarly article
title: A review on stochastic differential equations for applications in hydrology
zbMATH Open document ID: 0661.60068
DOI: 10.1007/BF01543805
author: B. A. Bodo
author: T. E. Unny
author: Mary E. Thompson
published in: Stochastic Hydrology and Hydraulics
publication date: 1987-01-01T00:00:00Z
review text: Fundamentals of the theory of stochastic calculus and stochastic differential equations (SDE's) which are finding increasing application in water resources engineering are reviewed. The basics of probability theory, mean square calculus and the Wiener, white Gaussian and compound Poisson processes are given in preparation for a discussion of the general Itô SDE with drift, diffusion and jump discontinuity terms driven by Gaussian white noise and compound Poissonian impulses. Also discussed are stochastic integration and the derivation of moment equations via the Itô differential rule. The literature of SDE's is reviewed with an emphasis on the more accessible sources.
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 76Q05
zbMATH DE Number: 4080542
zbMATH Keywords: Itô calculus
zbMATH Keywords: Stratovovich integrals
zbMATH Keywords: jump integrals
zbMATH Keywords: stochastic differential equations
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 4080542