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.
"synopsis" may belong to another edition of this title.
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 2 volumes, it combines a book of basic theory with a book of applications. Familiarity with elementary probability is the sole prerequisite. 1975 edition.
"About this title" may belong to another edition of this title.
Book Description Academic Press Inc, 1975. Book Condition: Fair. Volume 1. This book has hardback covers.Ex-library,With usual stamps and markings,In fair condition, suitable as a study copy.No dust jacket. Bookseller Inventory # 2961658
Book Description Book Condition: Good. [ No Hassle 30 Day Returns ][ Ships Daily ] [ Underlining/Highlighting: NONE ] [ Writing: NONE ] [ Edition: First ] Publisher: Academic Press Pub Date: 9/1/1975 Binding: Hardcover Pages: 241 First edition. Bookseller Inventory # 3756551
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Book Description Academic Press, 1975. Hardcover. Book Condition: Good. isbn matches very clean xlibrary hardcover. clean text. solid binding. light wear, xlibrary marks Fast service with confirmation, no international or priority orders over 4lbs. Bookseller Inventory # mon0000095441
Book Description Academic Press. Book Condition: Good. Volume 1 only. Ex-library, so some stamps and wear, but in good overall condition. Bookseller Inventory # Z1-K-002-01032