Stochastic Differential Equations and Applications

Stochastic Differential Equations and Applications
Author :
Publisher : Academic Press
Total Pages : 248
Release :
ISBN-10 : 9781483217871
ISBN-13 : 1483217876
Rating : 4/5 (876 Downloads)

Book Synopsis Stochastic Differential Equations and Applications by : Avner Friedman

Download or read book Stochastic Differential Equations and Applications written by Avner Friedman and published by Academic Press. This book was released on 2014-06-20 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 stochastic integral. Chapter 6 examines the connections between solutions of partial differential equations and stochastic differential equations, while Chapter 7 describes the Girsanov's formula that is useful in the stochastic control theory. Chapters 8 and 9 evaluate the behavior of sample paths of the solution of a stochastic differential system, as time increases to infinity. This book is intended primarily for undergraduate and graduate mathematics students.


Stochastic Differential Equations and Applications Related Books

Stochastic Differential Equations and Applications
Language: en
Pages: 248
Authors: Avner Friedman
Categories: Mathematics
Type: BOOK - Published: 2014-06-20 - Publisher: Academic Press

GET EBOOK

Stochastic Differential Equations and Applications, Volume 1 covers the development of the basic theory of stochastic differential equation systems. This volume
Ordinary Differential Equations with Applications
Language: en
Pages: 569
Authors: Carmen Chicone
Categories: Mathematics
Type: BOOK - Published: 2008-04-08 - Publisher: Springer Science & Business Media

GET EBOOK

Based on a one-year course taught by the author to graduates at the University of Missouri, this book provides a student-friendly account of some of the standar
Differential Equations with Applications
Language: en
Pages: 580
Authors: Paul D. Ritger
Categories: Mathematics
Type: BOOK - Published: 2000-01-01 - Publisher: Courier Corporation

GET EBOOK

Coherent, balanced introductory text focuses on initial- and boundary-value problems, general properties of linear equations, and the differences between linear
Stochastic Differential Equations
Language: en
Pages: 218
Authors: Bernt Oksendal
Categories: Mathematics
Type: BOOK - Published: 2013-03-09 - Publisher: Springer Science & Business Media

GET EBOOK

These notes are based on a postgraduate course I gave on stochastic differential equations at Edinburgh University in the spring 1982. No previous knowledge abo
An Introduction to Differential Equations and Their Applications
Language: en
Pages: 642
Authors: Stanley J. Farlow
Categories: Mathematics
Type: BOOK - Published: 2012-10-23 - Publisher: Courier Corporation

GET EBOOK

This introductory text explores 1st- and 2nd-order differential equations, series solutions, the Laplace transform, difference equations, much more. Numerous fi