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Stochastic Differential Equations. An Introduction With Applications, 5th Edition - Couverture souple

Oksendal, Bernt

 
9783540637202: Stochastic Differential Equations. An Introduction With Applications, 5th Edition
Couverture souple
ISBN 10 : 3540637206 ISBN 13 : 9783540637202
Editeur : Springer-Verlag Berlin and Heidelberg GmbH & Co. K, 1998

Synopsis

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, lie frequently returns to these problems and variants thereof and to many other problems to show how the theory works and to motivate the next step in the theoretical development. Needless to say, he restricts himself to stochastic integration with respect to Brownian motion. He is not hesitant to give some basic results without proof in order to leave room for "some more basic applications" The book can be an ideal text for a graduate course, but it is also recommended to analysts (in particular, those working in differential equations and deterministic dynamical systems and control) who wish to learn quickly what stochastic differential equations are all about. The 5th edition of this well-established text includes, besides corrections and other improvements, a new chapter (Chapter 12) on applications to mathematical finance.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Date d'édition
1998
Langue
anglais
ISBN 10 
3540637206
ISBN 13 
9783540637202
Reliure
Broché
Numéro d'édition
5
Nombre de pages
346
Coordonnées du fabricant
non disponible
Personne responsable
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