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

Gikhman, Ilya

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

Synopsis

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.

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

Présentation de l'éditeur

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.

Biographie de l'auteur

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2011
Langue
anglais
ISBN 10 
3845407913
ISBN 13 
9783845407913
Reliure
Broché
Nombre de pages
252
Coordonnées du fabricant
non disponible
Personne responsable
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