|Series||Wiley series in probability and mathematical statistics|
|The Physical Object|
|Number of Pages||321|
Stochastic Differential Equations and Applications, Volume 1 covers the development of the basic theory of stochastic differential equation systems. This volume is divided into nine chapters. Chapters 1 to 5 deal with the basic theory of stochastic differential equations, including discussions of the Markov processes, Brownian motion, and the. Problem 6 is a stochastic version of F.P. Ramsey’s classical control problem from In Chapter X we formulate the general stochastic control prob-lem in terms of stochastic diﬁerential equations, and we apply the results of Chapters VII and VIII to show that the problem can be reduced to solvingFile Size: 1MB. This book is written for people who are interested in stochastic differential equations (SDEs) and their applications. It shows how to introduce and define the Ito integrals, to establish Ito’s differential rule (the so-called Ito formula), to solve the SDEs, and to establish Girsanov’s theorem and obtain weak solutions of SDEs. This book offers an analytical approach to stochastic processes that are most common in the physical and life sciences. Its aim is to make probability theory readily accessible to scientists trained in the traditional methods of applied mathematics, such as integral, ordinary, and partial differential equations and in asymptotic methods, rather than in probability and measure : Springer-Verlag New York.
Stochastic Differential Equations and Applications, Volume 2 is an eight-chapter text that focuses on the practical aspects of stochastic differential equations. This volume begins with a presentation of the auxiliary results in partial differential equations that are needed in the sequel. "This is now the sixth edition of the excellent book on stochastic differential equations and related topics. the presentation is successfully balanced between being easily accessible for a broad audience and being mathematically rigorous. The book is a first choice for courses at graduate level in applied stochastic differential : Springer-Verlag Berlin Heidelberg. The editor has incorporated contributions from a diverse group of leading researchers in the field of differential equations. This book aims to provide an overview of the current knowledge in the field of differential equations. The main subject areas are divided into general theory and applications. These include fixed point approach to solution existence of differential equations, Author: Terry E. Moschandreou. for the ﬁrst time this tends to blur the basic ideas and intuition behind the theory. In this book, with no shame, we trade rigour to readability when treating SDEs 3 Itô Calculus and Stochastic Differential Equations 31 which is a very useful class File Size: 1MB.
Stochastic Differential Equations This book gives an introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to motivate and illustrate the theory and show its importance for m. Acta Scientiarum Mathematicarum, , #1 "The book is well written, gives a lot of nice applications of stochastic differential equation theory, and presents theory and applications of stochastic differential equations in a way which makes the book useful for mathematical seminars at a low level. () The book (will) really. This text develops the theory of systems of stochastic differential equations and presents applications in probability, partial differential equations, and stochastic control problems. Originally published in two volumes, it combines a book of basic theory with a book of applications. Familiarity with elementary probability is the sole prerequisite. edition. Additional Physical Format: Online version: Schuss, Zeev, Theory and applications of stochastic differential equations. New York: Wiley, ©