Stochastic Differential Equations and Applications

Written By Avner Friedman
Stochastic Differential Equations and Applications
  • Publsiher : Academic Press
  • Release : 20 June 2014
  • ISBN : 1483217876
  • Pages : 248 pages
  • Rating : 4/5 from 21 reviews
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Read or download book entitled Stochastic Differential Equations and Applications written by Avner Friedman which was release on 20 June 2014, this book published by Academic Press. Available in PDF, EPUB and Kindle Format. Book excerpt: 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

Stochastic Differential Equations and Applications
  • Author : Avner Friedman
  • Publisher : Academic Press
  • Release Date : 2014-06-20
  • Total pages : 248
  • ISBN : 1483217876
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Summary : 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 ...

Stochastic Differential Equations and Applications

Stochastic Differential Equations and Applications
  • Author : X Mao
  • Publisher : Elsevier
  • Release Date : 2007-12-30
  • Total pages : 440
  • ISBN : 1483217876
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Summary : 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 ...

Stochastic Differential Equations

Stochastic Differential Equations
  • Author : K. Sobczyk
  • Publisher : Springer Science & Business Media
  • Release Date : 2013-12-01
  • Total pages : 400
  • ISBN : 1483217876
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Summary : 'Et moi, ..~ si lavait su CO.llUlJalt en revc:nir, One acMcc matbcmatica bu JaIdcred the human rac:c. It bu put COIDIDOD _ beet je n'y serais point aBe.' Jules Verne wbac it bdoup, 0Jl!be~ IbcII _t to!be dusty cauialcr Iabc & d 'diMardod__ The series is divergent; ...

Stochastic Differential Equations

Stochastic Differential Equations
  • Author : Bernt Øksendal
  • Publisher : Springer Science & Business Media
  • Release Date : 2010-11-09
  • Total pages : 379
  • ISBN : 1483217876
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Summary : This book gives an introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to motivate and illustrate the theory and show its importance for many applications in e.g. economics, biology and physics. The basic idea of the presentation is ...

Stochastic Differential Equations

Stochastic Differential Equations
  • Author : Ludwig Arnold,LUDWIG AUTOR ARNOLD
  • Publisher : Wiley-Interscience
  • Release Date : 1974-04-23
  • Total pages : 228
  • ISBN : 1483217876
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Summary : 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 ...

Theory of Stochastic Differential Equations with Jumps and Applications

Theory of Stochastic Differential Equations with Jumps and Applications
  • Author : Rong SITU
  • Publisher : Springer Science & Business Media
  • Release Date : 2006-05-06
  • Total pages : 434
  • ISBN : 1483217876
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Summary : Stochastic differential equations (SDEs) are a powerful tool in science, mathematics, economics and finance. This book will help the reader to master the basic theory and learn some applications of SDEs. In particular, the reader will be provided with the backward SDE technique for use in research when considering financial ...

Forward Backward Stochastic Differential Equations and their Applications

Forward Backward Stochastic Differential Equations and their Applications
  • Author : Jin Ma,Jiongmin Yong
  • Publisher : Springer
  • Release Date : 2007-04-24
  • Total pages : 278
  • ISBN : 1483217876
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Summary : This volume is a survey/monograph on the recently developed theory of forward-backward stochastic differential equations (FBSDEs). Basic techniques such as the method of optimal control, the 'Four Step Scheme', and the method of continuation are presented in full. Related topics such as backward stochastic PDEs and many applications of ...

An Introduction to Stochastic Differential Equations

An Introduction to Stochastic Differential Equations
  • Author : Lawrence C. Evans
  • Publisher : American Mathematical Soc.
  • Release Date : 2012-12-11
  • Total pages : 151
  • ISBN : 1483217876
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Summary : These notes provide a concise introduction to stochastic differential equations and their application to the study of financial markets and as a basis for modeling diverse physical phenomena. They are accessible to non-specialists and make a valuable addition to the collection of texts on the topic. --Srinivasa Varadhan, New York ...

Stochastic Partial Differential Equations and Applications

Stochastic Partial Differential Equations and Applications
  • Author : Giuseppe Da Prato
  • Publisher : Unknown
  • Release Date : 1992
  • Total pages : 286
  • ISBN : 1483217876
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Summary : Download or read online Stochastic Partial Differential Equations and Applications written by Giuseppe Da Prato, published by which was released on 1992. Get Stochastic Partial Differential Equations and Applications Books now! Available in PDF, ePub and Kindle....

Numerical Solution of Stochastic Differential Equations

Numerical Solution of Stochastic Differential Equations
  • Author : Peter E. Kloeden,Eckhard Platen
  • Publisher : Springer Science & Business Media
  • Release Date : 2013-04-17
  • Total pages : 636
  • ISBN : 1483217876
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Summary : 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

Stochastic Differential Equations and Applications
  • Author : Jesse David Mason
  • Publisher : Unknown
  • Release Date : 1977
  • Total pages : 253
  • ISBN : 1483217876
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Summary : Download or read online Stochastic Differential Equations and Applications written by Jesse David Mason, published by which was released on 1977. Get Stochastic Differential Equations and Applications Books now! Available in PDF, ePub and Kindle....

Stochastic Differential Equations

Stochastic Differential Equations
  • Author : Bernt Oksendal
  • Publisher : Springer Science & Business Media
  • Release Date : 2013-03-09
  • Total pages : 324
  • ISBN : 1483217876
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Summary : The main new feature of the fifth edition is the addition of a new chapter, Chapter 12, on applications to mathematical finance. I found it natural to include this material as another major application of stochastic analysis, in view of the amazing development in this field during the last 10-20 years. ...

Stochastic Differential Equations and Applications

Stochastic Differential Equations and Applications
  • Author : Avner Friedman
  • Publisher : Unknown
  • Release Date : 1975
  • Total pages : 528
  • ISBN : 1483217876
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Summary : Download or read online Stochastic Differential Equations and Applications written by Avner Friedman, published by which was released on 1975. Get Stochastic Differential Equations and Applications Books now! Available in PDF, ePub and Kindle....

Theory and Applications of Stochastic Differential Equations

Theory and Applications of Stochastic Differential Equations
  • Author : Zeev Schuss
  • Publisher : John Wiley & Sons Incorporated
  • Release Date : 1980
  • Total pages : 321
  • ISBN : 1483217876
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Summary : Presents theory, sources, and applications of stochastic differential equations of Ito's type; those containing white noise. Closely studies first passage problems by modern singular perturbation methods and their role in various fields of science. Introduces analytical methods to obtain information on probabilistic quantities. Demonstrates the role of partial differential equations ...

Stochastic Differential Equations and Applications

Stochastic Differential Equations and Applications
  • Author : Brian Lenoach
  • Publisher : Unknown
  • Release Date : 1983
  • Total pages : 128
  • ISBN : 1483217876
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Summary : Download or read online Stochastic Differential Equations and Applications written by Brian Lenoach, published by which was released on 1983. Get Stochastic Differential Equations and Applications Books now! Available in PDF, ePub and Kindle....