Stochastic Differential Equations and Applications by Avner Friedman

Stochastic Differential Equations and Applications by Avner Friedman

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.

Avner Friedman is Director of the Mathematical Biosciences Institute at Ohio State University. Dover has reprinted several of his books on partial and stochastic differential equations and on the role of mathematics in industrial problems.

SKU	Nicht verfügbar
ISBN 13	9780486453590
ISBN 10	0486453596
Titel	Stochastic Differential Equations and Applications
Autor	Avner Friedman
Serie	Dover Books On Mathema 14tics
Buchzustand	Nicht verfügbar
Bindungsart	Paperback
Verlag	Dover Publications Inc.
Erscheinungsjahr	2007-01-26
Seitenanzahl	560
Hinweis auf dem Einband	Die Abbildung des Buches dient nur Illustrationszwecken, die tatsächliche Bindung, das Cover und die Auflage können sich davon unterscheiden.
Hinweis	Nicht verfügbar