STOCHASTIC DIFFERENTIAL EQUATIONS AND ITS APPPLICATIONS: Stochastic analysis of the dynamic systems - Softcover

Gikhman, Ilya

Softcover

ISBN 10: 3845407913 ISBN 13: 9783845407913

Publisher: LAP LAMBERT Academic Publishing, 2011

Synopsis

This book gives a comprehensive introduction to some modern problems of stochastic differential equations and its applications. The content can be divided into four primary parts.1) Generalization of standard growth condition of the diffusion coefficient of Ito equations.2) Two parametric Ito formula and Stochastic Goursat problem, 3) Cauchy problem for linear and nonlinear stochastic equations of the parabolic type. 4) Applications. Latter part deals with: Stochastic boundary value problem of the hyperbolic type, Stochastic vibration of mechanical systems under high frequency external random forces, Stochastic Schrödinger Equations, and Elements of Derivatives pricing.

About this title

About the Author

Over 30 years of mathematical research. Research and teaching experience in cross-disciplinary fields. Core area of interests include Probability, Statistics, finance applications, stochastic ordinary and partial differential equations and their applications, operations research.

Edition details

• Publisher: LAP LAMBERT Academic Publishing
• Publication date: 2011
• Language: English
• ISBN 10: 3845407913
• ISBN 13: 9783845407913
• Binding: Paperback
• Number of pages: 252