Stochastic differential equations : an introduction with applications. (Universitext). Ex-Library.

Øksendal, Bernt

ISBN 10: 3540637206 / ISBN 13: 9783540637202

Edité par Springer, Berlin, Germany., &c., 1998

A propos de cet article

xix, 324 p. 5th ed.

N° de réf. du vendeur GU2411

Détails bibliographiques

• Titre: Stochastic differential equations : an introduction with applications. (Universitext). Ex-Library.
• Éditeur: Springer, Berlin, Germany., &c.
• Date de parution: 1998
• Langue: anglais
• ISBN à 10 chiffres: 3540637206
• ISBN à 13 chiffres: 9783540637202
• Reliure: Softcover
• Édition: 5ème Édition
• État de l'article: Good
• État de la jaquette: No dust jacket

A propos de ce titre

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.