Time-Varying Probabilities

  • Alexandre J. Chorin
  • Ole H. Hald
Part of the Texts in Applied Mathematics book series (TAM, volume 58)


There are many situations in which one needs to consider differential equations that contain a stochastic element, for example, equations in which the value of some coefficient depends on a measurement. The solution of the equation is then a function of the independent variables in the equation as well as of a point ω in some probability space; i.e., it is a stochastic process.


Brownian Motion Stochastic Differential Equation Langevin Equation Gaussian Random Variable Planck Equation 
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Copyright information

© Springer Science+Business Media New York 2013

Authors and Affiliations

  • Alexandre J. Chorin
    • 1
  • Ole H. Hald
    • 2
  1. 1.Department of MathematicsUniversity of California, BerkeleyBerkeleyUSA
  2. 2.Department of MathematicsUniversity of California at BerkeleyBerkeleyUSA

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