Stochastic Differential And Difference Equations
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Stochastic Differential And Difference Equations
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Author : Imre Csiszar
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stochastic Differential And Difference Equations written by Imre Csiszar and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
Stochastic Differential Equations With Markovian Switching
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Author : Xuerong Mao
language : en
Publisher: Imperial College Press
Release Date : 2006
Stochastic Differential Equations With Markovian Switching written by Xuerong Mao and has been published by Imperial College Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Mathematics categories.
This textbook provides the first systematic presentation of the theory of stochastic differential equations with Markovian switching. It presents the basic principles at an introductory level but emphasizes current advanced level research trends. The material takes into account all the features of Ito equations, Markovian switching, interval systems and time-lag. The theory developed is applicable in different and complicated situations in many branches of science and industry.
Stochastic Differential Equations And Applications
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Author : Avner Friedman
language : en
Publisher: Academic Press
Release Date : 2014-06-20
Stochastic Differential Equations And Applications written by Avner Friedman and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-20 with Mathematics categories.
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.
Stochastic Differential Equations And Diffusion Processes
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Author : N. Ikeda
language : en
Publisher: Elsevier
Release Date : 2014-06-28
Stochastic Differential Equations And Diffusion Processes written by N. Ikeda and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-28 with Mathematics categories.
Being a systematic treatment of the modern theory of stochastic integrals and stochastic differential equations, the theory is developed within the martingale framework, which was developed by J.L. Doob and which plays an indispensable role in the modern theory of stochastic analysis.A considerable number of corrections and improvements have been made for the second edition of this classic work. In particular, major and substantial changes are in Chapter III and Chapter V where the sections treating excursions of Brownian Motion and the Malliavin Calculus have been expanded and refined. Sections discussing complex (conformal) martingales and Kahler diffusions have been added.
Stochastic Differential Equations And Applications
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Author : X Mao
language : en
Publisher: Elsevier
Release Date : 2007-12-30
Stochastic Differential Equations And Applications written by X Mao and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-30 with Mathematics categories.
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 of stochastic systems Useful as a reference source for pure and applied mathematicians, statisticians and probabilists, engineers in control and communications, and information scientists, physicists and economists
On Stochastic Differential Equations
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Author : Kiyosi Itô
language : en
Publisher: American Mathematical Soc.
Release Date : 1951
On Stochastic Differential Equations written by Kiyosi Itô and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 1951 with Differential equations categories.
Stochastic Differential And Difference Equations
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Author : Imre Csiszar
language : en
Publisher:
Release Date : 1997-08-19
Stochastic Differential And Difference Equations written by Imre Csiszar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-08-19 with categories.
An Introduction To Stochastic Differential Equations
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Author : Lawrence C. Evans
language : en
Publisher: American Mathematical Soc.
Release Date : 2012-12-11
An Introduction To Stochastic Differential Equations written by Lawrence C. Evans and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-11 with Mathematics categories.
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 a basic background in mathematical analysis and probability. --George Papanicolaou, Stanford University This book covers the most important elementary facts regarding stochastic differential equations; it also describes some of the applications to partial differential equations, optimal stopping, and options pricing. The book's style is intuitive rather than formal, and emphasis is made on clarity. This book will be very helpful to starting graduate students and strong undergraduates as well as to others who want to gain knowledge of stochastic differential equations. I recommend this book enthusiastically. --Alexander Lipton, Mathematical Finance Executive, Bank of America Merrill Lynch This short book provides a quick, but very readable introduction to stochastic differential equations, that is, to differential equations subject to additive ``white noise'' and related random disturbances. The exposition is concise and strongly focused upon the interplay between probabilistic intuition and mathematical rigor. Topics include a quick survey of measure theoretic probability theory, followed by an introduction to Brownian motion and the Ito stochastic calculus, and finally the theory of stochastic differential equations. The text also includes applications to partial differential equations, optimal stopping problems and options pricing. This book can be used as a text for senior undergraduates or beginning graduate students in mathematics, applied mathematics, physics, financial mathematics, etc., who want to learn the basics of stochastic differential equations. The reader is assumed to be fairly familiar with measure theoretic mathematical analysis, but is not assumed to have any particular knowledge of probability theory (which is rapidly developed in Chapter 2 of the book).
Lyapunov Functionals And Stability Of Stochastic Difference Equations
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Author : Leonid Shaikhet
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-06-02
Lyapunov Functionals And Stability Of Stochastic Difference Equations written by Leonid Shaikhet and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-02 with Technology & Engineering categories.
Hereditary systems (or systems with either delay or after-effects) are widely used to model processes in physics, mechanics, control, economics and biology. An important element in their study is their stability. Stability conditions for difference equations with delay can be obtained using a Lyapunov functional. Lyapunov Functionals and Stability of Stochastic Difference Equations describes a general method of Lyapunov functional construction to investigate the stability of discrete- and continuous-time stochastic Volterra difference equations. The method allows the investigation of the degree to which the stability properties of differential equations are preserved in their difference analogues. The text is self-contained, beginning with basic definitions and the mathematical fundamentals of Lyapunov functional construction and moving on from particular to general stability results for stochastic difference equations with constant coefficients. Results are then discussed for stochastic difference equations of linear, nonlinear, delayed, discrete and continuous types. Examples are drawn from a variety of physical systems including inverted pendulum control, study of epidemic development, Nicholson’s blowflies equation and predator–prey relationships. Lyapunov Functionals and Stability of Stochastic Difference Equations is primarily addressed to experts in stability theory but will also be of use in the work of pure and computational mathematicians and researchers using the ideas of optimal control to study economic, mechanical and biological systems.
Stochastic Differential Equations
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Author : Ludwig Arnold
language : en
Publisher: Wiley-Interscience
Release Date : 1974-04-23
Stochastic Differential Equations written by Ludwig Arnold and has been published by Wiley-Interscience this book supported file pdf, txt, epub, kindle and other format this book has been release on 1974-04-23 with Mathematics categories.
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.