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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.
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Stochastic Differential Equations and Applications
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Stochastic Differential Equations And Applications
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Stochastic Differential Equations and Applications Format: Paperback
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Stochastic Differential Equations and Applications (Dover Books on Mathematics)
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Stochastic Differential Equations and Applications (Dover Books on Mathematics)
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Stochastic Differential Equations and Applications (Paperback)
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Dover Publications Inc., New York, 2007
ISBN 10: 0486453596
ISBN 13: 9780486453590
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Paperback. Condition: new. Paperback. This text develops the theory of systems of stochastic differential equations, and it presents applications in probability, partial differential equations, and stochastic control problems. Originally published in two volumes, it combines a book of basic theory and selected topics with a book of applications.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. 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. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Seller Inventory # 9780486453590
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Stochastic Differential Equations and Applications (Paperback or Softback)
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Dover Publications 12/1/2006, 2006
ISBN 10: 0486453596
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Stochastic Differential Equations and Applications
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Dover Publications Inc., US, 2007
ISBN 10: 0486453596
ISBN 13: 9780486453590
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Stochastic Differential Equations and Applications
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