Stochastic Differential Equations and Its Appplications

ISBN-13: 9783845407913 / Angielski / Miękka / 2011 / 252 str.

Ilya Gikhman

Opis

This book gives a comprehensive introduction to some modern problems of stochastic differential equations and its applications. The content can be divided into four primary parts.1) Generalization of standard growth condition of the diffusion coefficient of Ito equations.2) Two parametric Ito formula and Stochastic Goursat problem, 3) Cauchy problem for linear and nonlinear stochastic equations of the parabolic type. 4) Applications. Latter part deals with: Stochastic boundary value problem of the hyperbolic type, Stochastic vibration of mechanical systems under high frequency external random forces, Stochastic Schrodinger Equations, and Elements of Derivatives pricing.

O autorze

Over 30 years of mathematical research. Research and teaching experience in cross-disciplinary fields. Core area of interests include Probability, Statistics, finance applications, stochastic ordinary and partial differential equations and their applications, operations research.