Theory And Applications Of Stochastic Differential Equations

Author : Zeev Schuss
Publisher : Springer Science & Business Media
Page : 486 pages
File Size : 47,7 Mb
Release : 2009-12-09
Category : Mathematics
ISBN : 9781441916051

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Theory and Applications of Stochastic Processes by Zeev Schuss Pdf

Stochastic processes and diffusion theory are the mathematical underpinnings of many scientific disciplines, including statistical physics, physical chemistry, molecular biophysics, communications theory and many more. Many books, reviews and research articles have been published on this topic, from the purely mathematical to the most practical. This book offers an analytical approach to stochastic processes that are most common in the physical and life sciences, as well as in optimal control and in the theory of filltering of signals from noisy measurements. Its aim is to make probability theory in function space readily accessible to scientists trained in the traditional methods of applied mathematics, such as integral, ordinary, and partial differential equations and asymptotic methods, rather than in probability and measure theory.

Author : Rong SITU
Publisher : Springer Science & Business Media
Page : 444 pages
File Size : 54,9 Mb
Release : 2006-05-06
Category : Technology & Engineering
ISBN : 9780387251752

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Theory of Stochastic Differential Equations with Jumps and Applications by Rong SITU Pdf

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 applied to research in many other problems in nature, science and elsewhere.

Author : Zeev Schuss
Publisher : Unknown
Page : 342 pages
File Size : 53,7 Mb
Release : 1980
Category : Mathematics
ISBN : UOM:39015000964471

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Theory and Applications of Stochastic Differential Equations by Zeev Schuss Pdf

Presents theory, sources, and applications of stochastic differential equations of Ito's type; those containing white noise. Closely studies first passage problems by modern singular perturbation methods and their role in various fields of science. Introduces analytical methods to obtain information on probabilistic quantities. Demonstrates the role of partial differential equations in this context. Clarifies the relationship between the complex mathematical theories involved and sources of the problem for physicists, chemists, engineers, and other non-mathematical specialists.

Author : Ludwig Arnold
Publisher : Wiley-Interscience
Page : 250 pages
File Size : 40,8 Mb
Release : 1974-04-23
Category : Mathematics
ISBN : MINN:319510001592419

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Stochastic Differential Equations by Ludwig Arnold Pdf

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.

Author : Peter H. Baxendale,Sergey V. Lototsky
Publisher : World Scientific
Page : 416 pages
File Size : 45,8 Mb
Release : 2007
Category : Science
ISBN : 9789812706621

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Stochastic Differential Equations by Peter H. Baxendale,Sergey V. Lototsky Pdf

The first paper in the volume, Stochastic Evolution Equations by N V Krylov and B L Rozovskii, was originally published in Russian in 1979. After more than a quarter-century, this paper remains a standard reference in the field of stochastic partial differential equations (SPDEs) and continues to attract attention of mathematicians of all generations, because, together with a short but thorough introduction to SPDEs, it presents a number of optimal and essentially non-improvable results about solvability for a large class of both linear and non-linear equations.

Author : Bernt Oksendal
Publisher : Springer Science & Business Media
Page : 218 pages
File Size : 48,7 Mb
Release : 2013-03-09
Category : Mathematics
ISBN : 9783662130506

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Stochastic Differential Equations by Bernt Oksendal Pdf

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 life of its own as a fascinating research field with many interesting unanswered questions. Unfortunately most of the literature about stochastic differential equations seems to place so much emphasis on rigor and complete ness that is scares many nonexperts away. These notes are an attempt to approach the subject from the nonexpert point of view: Not knowing anything (except rumours, maybe) about a subject to start with, what would I like to know first of all? My answer would be: 1) In what situations does the subject arise? 2) What are its essential features? 3) What are the applications and the connections to other fields? I would not be so interested in the proof of the most general case, but rather in an easier proof of a special case, which may give just as much of the basic idea in the argument. And I would be willing to believe some basic results without proof (at first stage, anyway) in order to have time for some more basic applications.

Author : Avner Friedman
Publisher : Academic Press
Page : 248 pages
File Size : 55,5 Mb
Release : 2014-06-20
Category : Mathematics
ISBN : 9781483217871

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Stochastic Differential Equations and Applications by Avner Friedman Pdf

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.

Author : Peter H. Baxendale,Sergey V. Lototsky
Publisher : World Scientific
Page : 416 pages
File Size : 51,9 Mb
Release : 2007
Category : Mathematics
ISBN : 9789812770639

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Stochastic Differential Equations by Peter H. Baxendale,Sergey V. Lototsky Pdf

This volume consists of 15 articles written by experts in stochastic analysis. The first paper in the volume, Stochastic Evolution Equations by N V Krylov and B L Rozovskii, was originally published in Russian in 1979. After more than a quarter-century, this paper remains a standard reference in the field of stochastic partial differential equations (SPDEs) and continues to attract the attention of mathematicians of all generations. Together with a short but thorough introduction to SPDEs, it presents a number of optimal, and essentially unimprovable, results about solvability for a large class of both linear and non-linear equations. The other papers in this volume were specially written for the occasion of Prof RozovskiiOCOs 60th birthday. They tackle a wide range of topics in the theory and applications of stochastic differential equations, both ordinary and with partial derivatives."

Author : Anonim
Publisher : Unknown
Page : 128 pages
File Size : 51,9 Mb
Release : 2024-06-27
Category : Electronic
ISBN : 9789814475426

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Stochastic Differential Equations: Theory and Applications by Anonim Pdf

Author : X Mao
Publisher : Elsevier
Page : 445 pages
File Size : 52,5 Mb
Release : 2007-12-30
Category : Mathematics
ISBN : 9780857099402

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Stochastic Differential Equations and Applications by X Mao Pdf

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

Author : Jin Ma,Jiongmin Yong
Publisher : Springer
Page : 278 pages
File Size : 52,5 Mb
Release : 2007-04-24
Category : Mathematics
ISBN : 9783540488316

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Forward-Backward Stochastic Differential Equations and their Applications by Jin Ma,Jiongmin Yong Pdf

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 can be used for researchers and/or senior graduate students in the areas of probability, control theory, mathematical finance, and other related fields.

Author : Simo Särkkä,Arno Solin
Publisher : Cambridge University Press
Page : 327 pages
File Size : 50,5 Mb
Release : 2019-05-02
Category : Business & Economics
ISBN : 9781316510087

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Applied Stochastic Differential Equations by Simo Särkkä,Arno Solin Pdf

With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.

Author : Bernt Oksendal
Publisher : Springer Science & Business Media
Page : 199 pages
File Size : 45,6 Mb
Release : 2013-04-17
Category : Mathematics
ISBN : 9783662025741

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Stochastic Differential Equations by Bernt Oksendal Pdf

From the reviews: "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, he 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." Acta Scientiarum Mathematicarum, Tom 50, 3-4, 1986#1 "The book is well written, gives a lot of nice applications of stochastic differential equation theory, and presents theory and applications of stochastic differential equations in a way which makes the book useful for mathematical seminars at a low level. (...) The book (will) really motivate scientists from non-mathematical fields to try to understand the usefulness of stochastic differential equations in their fields." Metrica#2

Author : E. Allen
Publisher : Springer Science & Business Media
Page : 239 pages
File Size : 49,6 Mb
Release : 2007-03-08
Category : Mathematics
ISBN : 9781402059537

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Modeling with Itô Stochastic Differential Equations by E. Allen Pdf

This book explains a procedure for constructing realistic stochastic differential equation models for randomly varying systems in biology, chemistry, physics, engineering, and finance. Introductory chapters present the fundamental concepts of random variables, stochastic processes, stochastic integration, and stochastic differential equations. These concepts are explained in a Hilbert space setting which unifies and simplifies the presentation.

Author : Bernt Karsten Øksendal
Publisher : Springer Science & Business Media
Page : 186 pages
File Size : 41,7 Mb
Release : 1989
Category : Distribution (Probability theory)
ISBN : 3540517405

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Stochastic Differential Equations by Bernt Karsten Øksendal Pdf

From the reviews: "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, he 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." Acta Scientiarum Mathematicarum, Tom 50, 3-4, 1986#1 "The book is well written, gives a lot of nice applications of stochastic differential equation theory, and presents theory and applications of stochastic differential equations in a way which makes the book useful for mathematical seminars at a low level. (...) The book (will) really motivate scientists from non-mathematical fields to try to understand the usefulness of stochastic differential equations in their fields." Metrica#2