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Stochastic Differential Equations and Applications (Dover... - Friedman, Avner
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    Item specifics

    Condition
    Very Good: A book that has been read but is in excellent condition. No obvious damage to the cover, ...
    Book Title
    Stochastic Differential Equations and Applications (Dover Books o
    Genre
    Differential calculus & equations
    ISBN
    9780486453590

    About this product

    Product Information

    This text develops the theory of systems of stochastic differential equations, and it presents applications in probability, partial differential equations, and stochastic control problems. Originally published in two volumes, it combines a book of basic theory and selected topics with a book of applications.The first part explores Markov processes and Brownian motion; the stochastic integral and stochastic differential equations; elliptic and parabolic partial differential equations and their relations to stochastic differential equations; the Cameron-Martin-Girsanov theorem; and asymptotic estimates for solutions. The section concludes with a look at recurrent and transient solutions.Volume 2 begins with an overview of auxiliary results in partial differential equations, followed by chapters on nonattainability, stability and spiraling of solutions; the Dirichlet problem for degenerate elliptic equations; small random perturbations of dynamical systems; and fundamental solutions of degenerate parabolic equations. Final chapters examine stopping time problems and stochastic games and stochastic differential games. Problems appear at the end of each chapter, and a familiarity with elementary probability is the sole prerequisite.

    Product Identifiers

    Publisher
    Dover Publications Inc.
    ISBN-13
    9780486453590
    eBay Product ID (ePID)
    90839821

    Product Key Features

    Number of Pages
    560 Pages
    Publication Name
    Stochastic Differential Equations and Applications
    Language
    English
    Subject
    Mathematics
    Publication Year
    2007
    Type
    Textbook
    Author
    Avner Friedman
    Series
    Dover Books on Mathematics
    Format
    Paperback

    Dimensions

    Item Height
    214 mm
    Item Width
    136 mm

    Additional Product Features

    Country/Region of Manufacture
    United States
    Title_Author
    Avner Friedman

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