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Stochastic Differential Equations and Applications by Avner Friedman (Paperback, 2007)

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Title:-Stochastic Differential Equations and Applications (Dover Books on Mathematics). Author:-Friedman, Avner.

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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

PublisherDover Publications Inc.

ISBN-139780486453590

eBay Product ID (ePID)90839821

Product Key Features

Number of Pages560 Pages

Publication NameStochastic Differential Equations and Applications

LanguageEnglish

SubjectMathematics

Publication Year2007

TypeTextbook

AuthorAvner Friedman

SeriesDover Books on Mathematics

FormatPaperback

Dimensions

Item Height214 mm

Item Width136 mm

Additional Product Features

Country/Region of ManufactureUnited States

Title_AuthorAvner Friedman