Stochastic Differential Equations and Applications
Volume 1| By: | Avner Friedman |
| Publisher: | Elsevier S & T |
| Print ISBN: | 9780122682018 |
| eText ISBN: | 9781483217871 |
| Edition: | 0 |
| Copyright: | 1975 |
| Format: | Page Fidelity |
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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.