Stochastic Differential Equations and Applications

Stochastic Differential Equations and Applications

Author: X Mao

Publisher: Elsevier

ISBN: 9780857099402

Category: Mathematics

Page: 440

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This advanced undergraduate and graduate text has now been revised and updated to cover the basic principles and applications of various types of stochastic systems, with much on theory and applications not previously available in book form. The text is also useful as a reference source for pure and applied mathematicians, statisticians and probabilists, engineers in control and communications, and information scientists, physicists and economists. Has been revised and updated to cover the basic principles and applications of various types of stochastic systems Useful as a reference source for pure and applied mathematicians, statisticians and probabilists, engineers in control and communications, and information scientists, physicists and economists
Stochastic Differential Equations and Applications
Language: en
Pages: 440
Authors: X Mao
Categories: Mathematics
Type: BOOK - Published: 2007-12-30 - Publisher: Elsevier

This advanced undergraduate and graduate text has now been revised and updated to cover the basic principles and applications of various types of stochastic systems, with much on theory and applications not previously available in book form. The text is also useful as a reference source for pure and applied
A Concise Course on Stochastic Partial Differential Equations
Language: en
Pages: 149
Authors: Claudia Prévôt, Michael Röckner
Categories: Mathematics
Type: BOOK - Published: 2007-06-08 - Publisher: Springer Science & Business Media

These lectures concentrate on (nonlinear) stochastic partial differential equations (SPDE) of evolutionary type. There are three approaches to analyze SPDE: the "martingale measure approach", the "mild solution approach" and the "variational approach". The purpose of these notes is to give a concise and as self-contained as possible an introduction to
Numerical Solution of Stochastic Differential Equations
Language: en
Pages: 680
Authors: Peter E. Kloeden, Eckhard Platen
Categories: Mathematics
Type: BOOK - Published: 2011-06-15 - Publisher: Springer Science & Business Media

The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many
Stochastic Differential Equations and Applications
Language: en
Pages: 562
Authors: Avner Friedman
Categories: Mathematics
Type: BOOK - Published: 2006-12-01 - Publisher: Courier Corporation

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.
Numerical Solution of Stochastic Differential Equations
Language: en
Pages: 636
Authors: Peter E. Kloeden, Eckhard Platen
Categories: Mathematics
Type: BOOK - Published: 2013-04-17 - Publisher: Springer Science & Business Media

The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many