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

 
9780486482361: Stochastic Differential Equations: Theory and Applications (Dover Books on Mathematics)

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Synopsis

Practical and not too rigorous, this highly readable text on stochastic calculus provides an excellent introduction to stochastic partial differential equations. Written at a moderately advanced level, it covers important topics often ignored by other texts on the subject—including Fokker-Planck equations—and it functions as both a classroom text and a reference for professionals and students.
The only prerequisite is the mathematical preparation usual for students of physical and engineering sciences. An introductory chapter, intended for reference and review, covers the basics of probability theory. Subsequent chapters focus on Markov and diffusion processes, Wiener process and white noise, and stochastic integrals and differential equations. Additional topics include questions of modeling and approximation, stability of stochastic dynamic systems, optimal filtering of a disturbed signal, and optimal control of stochastic dynamic systems.

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Other Popular Editions of the Same Title

9780471033592: Stochastic Differential Equations: Theory and Applications

Featured Edition

ISBN 10:  0471033596 ISBN 13:  9780471033592
Publisher: Wiley Interscience, 1974
Hardcover