Stochastic Differential Equations and Applications: Dover Books on Mathematics
Autor Avner Friedmanen Limba Engleză Paperback – dec 2006
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.
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Specificații
ISBN-13: 9780486453590
ISBN-10: 0486453596
Pagini: 531
Dimensiuni: 163 x 216 x 28 mm
Greutate: 0.57 kg
Editura: Dover Publications
Seria Dover Books on Mathematics
ISBN-10: 0486453596
Pagini: 531
Dimensiuni: 163 x 216 x 28 mm
Greutate: 0.57 kg
Editura: Dover Publications
Seria Dover Books on Mathematics