Stochastic Differential Equations

Stochastic Differential Equations is a mathematical framework within the theory of differential equations that incorporates random fluctuations through stochastic processes, distinguishing it from deterministic differential equations by modeling the evolution of systems subject to continuous uncertainty and noise.

29.9K

Publications

1.6M

Citations

29.1K

Authors

5.1K

Institutions

Publications per year

2017–2026

Variants

Delay Differential EquationsFirst-order Differential EquationsHigher-order Differential EquationsLinear Differential EquationsNonlinear Differential EquationsOrdinary Differential EquationsPartial Differential EquationsSdes

Parents

Computational PhysicsDifferential EquationsDynamical SystemsScientific ComputingStochastic ModelingStochastic ProcessesUncertainty Quantification

Children

Backward Stochastic Differential EquationsBoundary Value Problems For Stochastic Differential EquationsDiffusionsErgodicityFirst-passage ProblemsFokker-planck EquationsHamilton-jacobi-bellman EquationsHomogenizationInference For Diffusion ProcessesItô Calculus

Publications

29.9K

A New Approach to Linear Filtering and Prediction Problems

R. E. Kalman · Journal of Basic Engineering · 1960 · 31K citations

Natural Sciences, Mathematics, Dynamical Systems +16

Stochastic Problems in Physics and Astronomy

S. Chandrasekhar · Reviews of Modern Physics · 1943 · 8.5K citations

Natural Sciences, Astronomy, Physics +12

Pattern formation outside of equilibrium

M. C. Cross, P. C. Hohenberg · Reviews of Modern Physics · 1993 · 7.8K citations

Natural Sciences, Physics, Dynamical Systems +16

NOTES ON CONTINUOUS STOCHASTIC PHENOMENA

P. A. P. Moran · Biometrika · 1950 · 7.1K citations

Engineering, Mathematics, Probability Theory +10

New Results in Linear Filtering and Prediction Theory

R. E. Kalman, R. S. Bucy · Journal of Basic Engineering · 1961 · 6.3K citations

Natural Sciences, Mathematics, Dynamical Systems +16

1–5 of 29.9K

Authors

29.1K

XM
Xuerong Mao
University of Strathclyde, United Kingdom
239 publications · 19.6K citations
72
h-index
ZW
Zidong Wang
Brunel University of London, United Kingdom
89 publications · 8K citations
53
h-index
PH
Peter Hänggi
University of Augsburg, Germany
86 publications · 7.8K citations
48
h-index
QZ
Quanxin Zhu
Hunan Normal University, China
118 publications · 6K citations
44
h-index
MR
Michael Röckner
Bielefeld University, Germany
101 publications · 5.2K citations
41
h-index

1–5 of 29.1K

Institutions

5.1K

1–8 of 5.1K

Venues

Physical Review Letters
PRL · 407 publications · 47.5K citations
104
h-index
IEEE Transactions on Automatic Control
406 publications · 31.6K citations
96
h-index
Stochastic Processes and their Applications
647 publications · 38K citations
93
h-index
The Annals of Probability
478 publications · 31.4K citations
91
h-index
Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics
PRE · 504 publications · 28K citations
86
h-index

1–5