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

Gikhman, Ilya

 
9783845407913: STOCHASTIC DIFFERENTIAL EQUATIONS AND ITS APPPLICATIONS: Stochastic analysis of the dynamic systems
Softcover
ISBN 10: 3845407913 ISBN 13: 9783845407913
Verlag: LAP LAMBERT Academic Publishing, 2011

Inhaltsangabe

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.

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Über die Autorin bzw. den Autor

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.

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Verlag
LAP LAMBERT Academic Publishing
Erscheinungsdatum
2011
Sprache
Englisch
ISBN 10 
3845407913
ISBN 13 
9783845407913
Einband
Taschenbuch
Anzahl der Seiten
252
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
Alphascript Publishing
customerservice@vdm-vsg.de

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Riga
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