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Synopsis
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.
- PublisherDover Publications
- Publication date2006
- ISBN 10 0486453596
- ISBN 13 9780486453590
- BindingPaperback
- LanguageEnglish
- Number of pages560
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Stochastic Differential Equations and Applications
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Paperback. Condition: Fine. Reprint. 531pp, small octavo, tight binding, clean and glossy wraps, clean throughout. reprints the 1975 edition. Seller Inventory # 159174
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Stochastic Differential Equations and Applications (Dover Books on Mathematics)
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Stochastic Differential Equations and Applications (Paperback or Softback)
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Stochastic Differential Equations and Applications (Dover Books on MaTHEMA 1.4tics)
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Stochastic Differential Equations And Applications
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Stochastic Differential Equations and Applications (Dover Books on Mathematics)
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Stochastic Differential Equations and Applications (Dover Books on Mathematics)
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Stochastic Differential Equations and Applications (Paperback)
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Dover Publications Inc., New York, 2007
ISBN 10: 0486453596
ISBN 13: 9780486453590
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Paperback. Condition: new. Paperback. 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. Originally published in 2 volumes, this text develops the theory of systems of stochastic differential equations and presents applications in probability, partial differential equations, and stochastic control problems. 1975 edition. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Seller Inventory # 9780486453590
Quantity: 1 available
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Stochastic Differential Equations and Applications (Dover Books on Mathematics)
Seller: Russell Books, Victoria, BC, Canada
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