Stochastic Differential Equations: An Introduction with Applications (Universitext).

Oksendal, Bernt:

ISBN 10: 354015292X / ISBN 13: 9783540152927

Editore: Berlin: Springer, 1989

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Zust: Gutes Exemplar. 208 Seiten Englisch 372g.

Codice articolo 485293

Dati bibliografici

• Titolo: Stochastic Differential Equations: An Introduction with Applications (Universitext).
• Editore: Berlin: Springer
• Data di pubblicazione: 1989
• Lingua: Inglese
• ISBN 10: 354015292X
• ISBN 13: 9783540152927
• Rilegatura: kartoniert
• Condizione: Sehr gut
• Peso: 372 grammi
• Cataloghi dei venditori:
  • Mathematik

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Riassunto

These notes are based on a postgraduate course I gave on stochastic differential equations at Edinburgh University in the spring 1982. No previous knowledge about the subject was assumed, but the presen­ tation is based on some background in measure theory. There are several reasons why one should learn more about stochastic differential equations: They have a wide range of applica­ tions outside mathematics, there are many fruitful connections to other mathematical disciplines and the subject has a rapidly develop­ ing life of its own as a fascinating research field with many interesting unanswered questions. Unfortunately most of the literature about stochastic differential equations seems to place so much emphasis on rigor and complete­ ness that is scares many nonexperts away. These notes are an attempt to approach the subject from the nonexpert point of view: Not knowing anything (except rumours, maybe) about a subject to start with, what would I like to know first of all? My answer would be: 1) In what situations does the subject arise? 2) What are its essential features? 3) What are the applications and the connections to other fields? I would not be so interested in the proof of the most general case, but rather in an easier proof of a special case, which may give just as much of the basic idea in the argument. And I would be willing to believe some basic results without proof (at first stage, anyway) in order to have time for some more basic applications.