Verwandte Artikel zu Stochastic Differential Equations and Applications...

Stochastic Differential Equations and Applications (Dover Books on Mathematics) - Softcover

Friedman, Avner

 
9780486453590: Stochastic Differential Equations and Applications (Dover Books on Mathematics)
Softcover
ISBN 10: 0486453596 ISBN 13: 9780486453590
Verlag: Dover Publications Inc., 2006

Inhaltsangabe

This text develops the theory of systems of stochastic differential equations, and it presents applications in probability, partial differential equations, and stochastic control problems. Originally published in two volumes, it combines a book of basic theory and selected topics with a book of applications.
The first part explores Markov processes and Brownian motion; the stochastic integral and stochastic differential equations; elliptic and parabolic partial differential equations and their relations to stochastic differential equations; the Cameron-Martin-Girsanov theorem; and asymptotic estimates for solutions. The section concludes with a look at recurrent and transient solutions.
Volume 2 begins with an overview of auxiliary results in partial differential equations, followed by chapters on nonattainability, stability and spiraling of solutions; the Dirichlet problem for degenerate elliptic equations; small random perturbations of dynamical systems; and fundamental solutions of degenerate parabolic equations. Final chapters examine stopping time problems and stochastic games and stochastic differential games. Problems appear at the end of each chapter, and a familiarity with elementary probability is the sole prerequisite.

Die Inhaltsangabe kann sich auf eine andere Ausgabe dieses Titels beziehen.

Verlag
Dover Publications Inc.
Erscheinungsdatum
2006
Sprache
Englisch
ISBN 10 
0486453596
ISBN 13 
9780486453590
Einband
Taschenbuch
Anzahl der Seiten
560
Kontakt zum Hersteller
Dover
info@galileo-mc.de

Dachauer Str. 5-7
F�rstenfeldbruck
82256
Deutschland