An Introduction to Stochastic Differential Equations (Hardcover)

Lawrence C. Evans

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Lingua: inglese

Editore: American Mathematical Society, Providence, 2014

1470410540 / 9781470410544

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Hardcover. This book provides a quick, but very readable introduction to stochastic differential equationsthat is, to differential equations subject to additive "white noise" and related random disturbances. The exposition is strongly focused upon the interplay between probabilistic intuition and mathematical rigour. 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). Provides a quick, but very readable introduction to stochastic differential equationsthat is, to differential equations subject to additive white noise" and related random disturbances. The exposition is strongly focused upon the interplay between probabilistic intuition and mathematical rigour. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.…

Codice articolo 9781470410544

Titolo
An Introduction to Stochastic Differential Equations (Hardcover)
Autore
Lawrence C. Evans
Editore
American Mathematical Society, Providence
Anno di pubblicazione
2014
Condizione
new
Rilegatura
Hardcover
Lingua
inglese
ISBN 10
1470410540
ISBN 13
9781470410544

Grand Eagle Retail

Bensenville, IL, U.S.A.

Venditore con 5 stelle

Venditore AbeBooks dal 12 ottobre 2005

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