Avner Friedman
Stochastic Differential Equations and Applications
Volume 1
Ebook (PDF Format)
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…
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Beschreibung
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.
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Produktdetails
Weitere Autoren: Birnbaum, Z. W. (Hrsg.) / Lukacs, E. (Hrsg.)
- ISBN: 978-1-4832-1787-1
- EAN: 9781483217871
- Produktnummer: 36168657
- Verlag: Elsevier Science & Techn.
- Sprache: Englisch
- Erscheinungsjahr: 2014
- Seitenangabe: 248 S.
- Plattform: PDF
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