Stochastic Differential Equations and Applications

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 the connections between solutions of partial differential equations and stochastic differential equations, while Chapter 7 describes the Girsanov’s formula that is useful in the stochastic control theory. Chapters 8 and 9 evaluate the behavior of sample paths of the solution of a stochastic differential system, as time increases to infinity. This book is intended primarily for undergraduate and graduate mathematics students.

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  • Author : Avner Friedman
  • Publisher : Academic Press
  • Pages : 248 pages
  • ISBN : 1483217876
  • Rating : 4/5 from 21 reviews
CLICK HERE TO GET THIS BOOKStochastic Differential Equations and Applications

Stochastic Differential Equations and Applications

Stochastic Differential Equations and Applications
  • Author : Avner Friedman
  • Publisher : Academic Press
  • Release : 20 June 2014
GET THIS BOOKStochastic Differential Equations and Applications

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 the connections between solutions of partial differential equations and stochastic differential equations, while Chapter 7 describes the Girsanov’s formula that is useful in the stochastic control theory. Chapters 8 and 9 evaluate

Stochastic Differential Equations and Applications

Stochastic Differential Equations and Applications
  • Author : X Mao
  • Publisher : Elsevier
  • Release : 30 December 2007
GET THIS BOOKStochastic Differential Equations and Applications

This advanced undergraduate and graduate text has now been revised and updated to cover the basic principles and applications of various types of stochastic systems, with much on theory and applications not previously available in book form. The text is also useful as a reference source for pure and applied mathematicians, statisticians and probabilists, engineers in control and communications, and information scientists, physicists and economists. Has been revised and updated to cover the basic principles and applications of various types

Forward-Backward Stochastic Differential Equations and their Applications

Forward-Backward Stochastic Differential Equations and their Applications
  • Author : Jin Ma,Jiongmin Yong
  • Publisher : Springer
  • Release : 24 April 2007
GET THIS BOOKForward-Backward Stochastic Differential Equations and their Applications

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 FBSDEs are also discussed in detail. The volume is suitable for readers with basic knowledge of stochastic differential equations, and some exposure to the stochastic control theory and PDEs. It

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 : 06 May 2006
GET THIS BOOKTheory of Stochastic Differential Equations with Jumps and Applications

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 problems in the market, and with the reflecting SDE technique to enable study of optimal stochastic population control problems. These two techniques are powerful and efficient, and can also be

Stochastic Differential Equations

Stochastic Differential Equations
  • Author : Bernt Oksendal
  • Publisher : Springer Science & Business Media
  • Release : 09 March 2013
GET THIS BOOKStochastic Differential Equations

These notes are based on a postgraduate course I gave on stochastic differential equations at Edinburgh University in the spring 1982. No previous knowledge about the subject was assumed, but the presen tation is based on some background in measure theory. There are several reasons why one should learn more about stochastic differential equations: They have a wide range of applica tions outside mathematics, there are many fruitful connections to other mathematical disciplines and the subject has a rapidly develop ing

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 : 12 June 2013
GET THIS BOOKBackward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications

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 Lévy processes. It discusses key results and techniques (including numerical algorithms) for BSDEs with jumps and studies filtration-consistent nonlinear expectations and g-expectations. Part I also focuses on the mathematical

Stochastic Differential Equations

Stochastic Differential Equations
  • Author : Ludwig Arnold,LUDWIG AUTOR ARNOLD
  • Publisher : Wiley-Interscience
  • Release : 23 April 1974
GET THIS BOOKStochastic Differential Equations

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 equations as Markov and diffusion processes; Questions of modeling and approximation; Stability of stochastic dynamic systems; Optimal filtering of a disturbed signal; Optimal control of stochastic dynamic systems.

Numerical Solution of Stochastic Differential Equations

Numerical Solution of Stochastic Differential Equations
  • Author : Peter E. Kloeden,Eckhard Platen
  • Publisher : Springer Science & Business Media
  • Release : 17 April 2013
GET THIS BOOKNumerical Solution of Stochastic Differential Equations

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 disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP

Stochastic Differential Equations

Stochastic Differential Equations
  • Author : K. Sobczyk
  • Publisher : Springer Science & Business Media
  • Release : 01 December 2013
GET THIS BOOKStochastic Differential Equations

'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; thc:reforc we may be -'. I!.ticT. Bc:I1 able to do something with it. O. Hcavisidc Mathematics is a tool for thought. A highly necessary tool in a

An Introduction to Stochastic Differential Equations

An Introduction to Stochastic Differential Equations
  • Author : Lawrence C. Evans
  • Publisher : American Mathematical Soc.
  • Release : 11 December 2012
GET THIS BOOKAn Introduction to Stochastic Differential Equations

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 University This is a handy and very useful text for studying stochastic differential equations. There is enough mathematical detail so that the reader can benefit from this introduction with only

Applied Stochastic Differential Equations

Applied Stochastic Differential Equations
  • Author : Simo Särkkä,Arno Solin
  • Publisher : Cambridge University Press
  • Release : 30 April 2019
GET THIS BOOKApplied Stochastic Differential Equations

Stochastic differential equations are differential equations whose solutions are stochastic processes. They exhibit appealing mathematical properties that are useful in modeling uncertainties and noisy phenomena in many disciplines. This book is motivated by applications of stochastic differential equations in target tracking and medical technology and, in particular, their use in methodologies such as filtering, smoothing, parameter estimation, and machine learning. It builds an intuitive hands-on understanding of what stochastic differential equations are all about, but also covers the essentials of

Stochastic Differential Inclusions and Applications

Stochastic Differential Inclusions and Applications
  • Author : Michał Kisielewicz
  • Publisher : Springer Science & Business Media
  • Release : 12 June 2013
GET THIS BOOKStochastic Differential Inclusions and Applications

​This book aims to further develop the theory of stochastic functional inclusions and their applications for describing the solutions of the initial and boundary value problems for partial differential inclusions. The self-contained volume is designed to introduce the reader in a systematic fashion, to new methods of the stochastic optimal control theory from the very beginning. The exposition contains detailed proofs and uses new and original methods to characterize the properties of stochastic functional inclusions that, up to the present