Equations Differentielles Stochastiques Au Sens de Stratonovitch Et de Ito (Stochastic Differential Equations in the Sense of Stratonovitch and of Ito). PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Equations Differentielles Stochastiques Au Sens de Stratonovitch Et de Ito (Stochastic Differential Equations in the Sense of Stratonovitch and of Ito). PDF full book. Access full book title Equations Differentielles Stochastiques Au Sens de Stratonovitch Et de Ito (Stochastic Differential Equations in the Sense of Stratonovitch and of Ito). by F. Levieux. Download full books in PDF and EPUB format.
Author: F. Levieux Publisher: ISBN: Category : Languages : en Pages : 15
Book Description
The definition and main properties of the stochastics integrals are examined. The differences between the solutions proposed by K. Ito and R.L. Stratonovitch are exposed. The question of the representation of diffusion processes by stochastic differential equations is examined in view of definition of a non-linear state variable representation of diffusion processes. (Author).
Author: F. Levieux Publisher: ISBN: Category : Languages : en Pages : 15
Book Description
The definition and main properties of the stochastics integrals are examined. The differences between the solutions proposed by K. Ito and R.L. Stratonovitch are exposed. The question of the representation of diffusion processes by stochastic differential equations is examined in view of definition of a non-linear state variable representation of diffusion processes. (Author).
Author: Douglas Henderson Publisher: World Scientific ISBN: 9814480533 Category : Science Languages : en Pages : 240
Book Description
Traditionally, non-quantum physics has been concerned with deterministic equations where the dynamics of the system are completely determined by initial conditions. A century ago the discovery of Brownian motion showed that nature need not be deterministic. However, it is only recently that there has been broad interest in nondeterministic and even chaotic systems, not only in physics but in ecology and economics. On a short term basis, the stock market is nondeterministic and often chaotic. Despite its significance, there are few books available that introduce the reader to modern ideas in stochastic systems. This book provides an introduction to this increasingly important field and includes a number of interesting applications.
Author: Bernt Oksendal Publisher: Springer Science & Business Media ISBN: 3662025744 Category : Mathematics Languages : en Pages : 199
Book Description
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: Lawrence C. Evans Publisher: American Mathematical Soc. ISBN: 1470410540 Category : Mathematics Languages : en Pages : 161
Book Description
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).
Author: Kiyosi Ito Publisher: SIAM ISBN: 9781611970234 Category : Mathematics Languages : en Pages : 79
Book Description
A systematic, self-contained treatment of the theory of stochastic differential equations in infinite dimensional spaces. Included is a discussion of Schwartz spaces of distributions in relation to probability theory and infinite dimensional stochastic analysis, as well as the random variables and stochastic processes that take values in infinite dimensional spaces.
Author: Bernt Øksendal Publisher: Springer Science & Business Media ISBN: 3642143946 Category : Mathematics Languages : en Pages : 403
Book Description
This book gives an introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to motivate and illustrate the theory and show its importance for many applications in e.g. economics, biology and physics. The basic idea of the presentation is to start from some basic results (without proofs) of the easier cases and develop the theory from there, and to concentrate on the proofs of the easier case (which nevertheless are often sufficiently general for many purposes) in order to be able to reach quickly the parts of the theory which is most important for the applications. For the 6th edition the author has added further exercises and, for the first time, solutions to many of the exercises are provided. This corrected 6th printing of the 6th edition contains additional corrections and useful improvements, based in part on helpful comments from the readers.
Author: F. Levieux
Author: F. Levieux
Author: Douglas Henderson
Author: 
Author: 
Author: Bernt Oksendal
Author: 
Author: Kiyosi Itô
Author: Lawrence C. Evans
Author: Kiyosi Ito
Author: Bernt Øksendal