Stochastic Differential Equations and Applications

Stochastic Differential Equations and Applications

Author: Avner Friedman

Publisher: Academic Press

ISBN: 9781483217871

Category: Mathematics

Page: 248

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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.
Stochastic Differential Equations and Applications
Language: en
Pages: 248
Authors: Avner Friedman
Categories: Mathematics
Type: BOOK - Published: 2014-06-20 - Publisher: Academic Press

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
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
Stochastic Differential Equations
Language: en
Pages: 252
Authors: Ludwig Arnold
Categories: Mathematics
Type: BOOK - Published: 1974-04-23 - Publisher: Wiley-Interscience

Fundamentals of probability theory; Markov processes and diffusion processes; Wiener process and white noise; Stochastic integrals; The stochastic integral as a stochastic process, stochastic differentials; Stochastic differential equations, existence and uniqueness of solutions; Properties of the solutions of stochastic differential equations; Linear stochastic differentials equations; The solutions of stochastic differentail
Stochastic Differential Systems I
Language: en
Pages: 254
Authors: A. V. Balakrishnan
Categories: Computers
Type: BOOK - Published: 2012-12-06 - Publisher: Springer Science & Business Media

This book is an outgrowth of a graduate course by the same title given at UCLA (System Science Department). presenting a Functional Analysis approach to Stochastic Filtering and Control Problems. As the writing progressed. several new points of view were developed and as a result the present work is more
Stochastic Differential Systems, Stochastic Control Theory and Applications
Language: en
Pages: 609
Authors: Wendell Fleming, Pierre-Louis Lions
Categories: Mathematics
Type: BOOK - Published: 2012-12-06 - Publisher: Springer Science & Business Media

This IMA Volume in Mathematics and its Applications STOCHASTIC DIFFERENTIAL SYSTEMS, STOCHASTIC CONTROL THEORY AND APPLICATIONS is the proceedings of a workshop which was an integral part of the 1986-87 IMA program on STOCHASTIC DIFFERENTIAL EQUATIONS AND THEIR APPLICATIONS. We are grateful to the Scientific Committee: Daniel Stroock (Chairman) WendeIl