こちらに共通ヘッダが追加されます。

この情報を出力する

このページのリンク

他の検索サイト

Stochastic Differential Equations : An Introduction with Applications / by Bernt Øksendal

データ種別 電子書籍
版 Third Edition.
出版者 Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer
出版年 1992

所蔵情報を非表示

URL オンライン

EB2043635


書誌詳細を非表示

書誌ID OB00869277
本文言語 英語
一般注記 I. Introduction -- II. Some Mathematical Preliminaries -- III. Ito Integrals -- IV. Stochastic Integrals and the Ito Formula -- V. Stochastic Differential Equations -- VI. The Filtering Problem -- VII. Diffusions: Basic Properties -- VIII. Other Topics in Diffusion Theory -- IX. Applications to Boundary Value Problems -- X. Application to Optimal Stopping -- XI Application to Stochastic Control -- Appendix A: Normal Random Variables -- Appendix B: Conditional Expectations -- Appendix C: Uniform Integrability and Martingale Convergence -- List of Frequently Used Notation and Symbols.
License restrictions may limit access
Summary: From the reviews to the first edition: Most of the literature about stochastic differential equations seems to place so much emphasis on rigor and completeness that it scares the nonexperts away. These notes are an attempt to approach the subject from the nonexpert point of view.: Not knowing anything ... 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?" The author, a lucid mind with a fine pedagocical instinct, has written a splendid text that achieves his aims set forward above. 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 thetheory works and to motivate the next step in the theoretical development. Needless to say, he restricts himself to stochastic integration with respectto Brownian motion. He is not hesitant to give some basic results without proof in order to leave room for "some more basic applications"... It 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. From: Acta Scientiarum Mathematicarum, Tom 50, 3-4, 1986
著者標目 *Øksendal, Bernt
SpringerLink (Online service)
統一書名標目 Universitext,
件　名 LCSH:Mathematics
LCSH:Global analysis (Mathematics)
LCSH:Systems theory
LCSH:Mathematical optimization
LCSH:Distribution (Probability theory)
FREE:Mathematics
FREE:Probability Theory and Stochastic Processes
FREE:Systems Theory, Control
FREE:Calculus of Variations and Optimal Control; Optimization
FREE:Analysis
分　類 LCC:QA273.A1-274.9
LCC:QA274-274.9
DC23:519.2
巻冊次 ISBN:9783662028476 RefWorks出力（各巻）
print ; ISBN:9783540533351 RefWorks出力（各巻）
資料種別 機械可読データファイル
目次・あらすじ

 類似資料