Stochastic Differential Equations and Applications: Volume 1 - Softcover

Friedman, Avner

Softcover

ISBN 10: 1483204448 ISBN 13: 9781483204444

Publisher: Academic Press, 2014

Synopsis

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.

Edition details

• Publisher: Academic Press
• Publication date: 2014
• Language: English
• ISBN 10: 1483204448
• ISBN 13: 9781483204444
• Binding: Paperback
• Number of pages: 248
• Editor: Birnbaum Z. W.