Stochastic Differential Equations and Applications

Written By X Mao
Stochastic Differential Equations and Applications
  • Publsiher : ISBS
  • Release : 13 January 2008
  • ISBN : 9781904275343
  • Pages : 422 pages
  • Rating : /5 from reviews
GET THIS BOOKStochastic Differential Equations and Applications


Download or read book entitled Stochastic Differential Equations and Applications by author: X Mao which was release on 13 January 2008 and published by ISBS with total page 422 pages . This book available in PDF, EPUB and Kindle Format. Mao (statistics and modeling science, U. of Strathclyde) has thoroughly revised this advanced undergraduate and graduate text, in part to describe several popular stochastic models and applications in population systems and finance. He covers generalized Gronwall inequality and Bihari inequality, Brownian motions and stochastic intervals, analysis of Ito and Feynman-Kac formulas, the Ruzumikhin technique of the Lyapunov method, approximate solutions to stochastic differential equations according to Cauchy-Marayama and Carathedory methods. Appropriate for pure and applied mathematicians, statisticians, engineers in control and communications, information scientists, physicists and economists. Previously published under title Stochastic Differential Equations and their Applications in 1997. Distributed by ISBS. Annotation ©2009 Book News, Inc., Portland, OR (booknews.com)

Stochastic Differential Equations and Applications

Stochastic Differential Equations and Applications
  • Author : X Mao
  • Publisher : ISBS
  • Release Date : 2008-01-13
  • Total pages : 422
  • ISBN : 9781904275343
GET BOOK

Summary : Mao (statistics and modeling science, U. of Strathclyde) has thoroughly revised this advanced undergraduate and graduate text, in part to describe several popular stochastic models and applications in population systems and finance. He covers generalized Gronwall inequality and Bihari inequality, Brownian motions and stochastic intervals, analysis of Ito and Feynman-Kac ...

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 : 9781904275343
GET BOOK

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

Stochastic Differential Equations
  • Author : Ludwig Arnold,LUDWIG AUTOR ARNOLD
  • Publisher : Wiley-Interscience
  • Release Date : 1974-04-23
  • Total pages : 228
  • ISBN : 9781904275343
GET BOOK

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 : 9781904275343
GET BOOK

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 ...

Reflecting Stochastic Differential Equations with Jumps and Applications

Reflecting Stochastic Differential Equations with Jumps and Applications
  • Author : Situ Rong
  • Publisher : CRC Press
  • Release Date : 1999-08-05
  • Total pages : 224
  • ISBN : 9781904275343
GET BOOK

Summary : Many important physical variables satisfy certain dynamic evolution systems and can take only non-negative values. Therefore, one can study such variables by studying these dynamic systems. One can put some conditions on the coefficients to ensure non-negative values in deterministic cases. However, as a random process disturbs the system, the ...

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 : 9781904275343
GET BOOK

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 ...

Stochastic Differential Equations

Stochastic Differential Equations
  • Author : Bernt Oksendal
  • Publisher : Springer Science & Business Media
  • Release Date : 2013-04-17
  • Total pages : 188
  • ISBN : 9781904275343
GET BOOK

Summary : From the reviews: "The author, a lucid mind with a fine pedagogical instinct, has written a splendid text. He starts out by stating six problems in the introduction in which stochastic differential equations play an essential role in the solution. Then, while developing stochastic calculus, he frequently returns to these ...

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 : 9781904275343
GET BOOK

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 Differential Equations

Stochastic Differential Equations
  • Author : K. Sobczyk
  • Publisher : Springer Science & Business Media
  • Release Date : 2013-12-01
  • Total pages : 400
  • ISBN : 9781904275343
GET BOOK

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; ...

Forward Backward Stochastic Differential Equations and Their Applications

Forward Backward Stochastic Differential Equations and Their Applications
  • Author : Jin Ma,J.-M. Morel,Jiongmin Yong
  • Publisher : Springer Science & Business Media
  • Release Date : 1999
  • Total pages : 270
  • ISBN : 9781904275343
GET BOOK

Summary : This book is intended to give an introduction to the theory of forwa- backward stochastic di erential equations (FBSDEs, for short) which has received strong attention in recent years because of its interesting structure and its usefulness in various applied elds. The motivation for studying FBSDEs comes originally from stochastic ...

Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications

Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications
  • Author : Łukasz Delong
  • Publisher : Springer Science & Business Media
  • Release Date : 2013-06-12
  • Total pages : 288
  • ISBN : 9781904275343
GET BOOK

Summary : Backward stochastic differential equations with jumps can be used to solve problems in both finance and insurance. Part I of this book presents the theory of BSDEs with Lipschitz generators driven by a Brownian motion and a compensated random measure, with an emphasis on those generated by step processes and ...

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 : 9781904275343
GET BOOK

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

Stochastic Differential Equations
  • Author : Bernt Øksendal
  • Publisher : Springer Science & Business Media
  • Release Date : 2003
  • Total pages : 360
  • ISBN : 9781904275343
GET BOOK

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 Partial Differential Equations and Applications II

Stochastic Partial Differential Equations and Applications II
  • Author : Giuseppe Da Prato,Luciano Tubaro
  • Publisher : Springer
  • Release Date : 2006-11-14
  • Total pages : 268
  • ISBN : 9781904275343
GET BOOK

Summary : Read online Stochastic Partial Differential Equations and Applications II written by Giuseppe Da Prato,Luciano Tubaro, published by Springer which was released on 2006-11-14. Download full Stochastic Partial Differential Equations and Applications II Books now! Available in PDF, ePub and Kindle....

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 : 9781904275343
GET BOOK

Summary : Read online Stochastic Partial Differential Equations and Applications written by Giuseppe Da Prato, published by which was released on 1992. Download full Stochastic Partial Differential Equations and Applications Books now! Available in PDF, ePub and Kindle....