Stochastic differential equations and applications

Stochastic differential equations and applications

by Friedman, Avner

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Stochastic Differential Equations and Applications.

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Title Statements

  • Full title :Stochastic differential equations and applications. / Avner Friedman.

Summary

Stochastic Differential Equations and Applications.

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Edition Statements

  • Publication Date:1975.

Publication Statements

  • Publisher(s):Academic Press
  • Place of Publication:New York
  • Language:eng
  • Publication Date:1975.

The Physical Object

  • Description:1 online resource (248 pages)

Edition Identifiers

  • ISBN:9781483217871, 1483217876, 9780122682018, 0122682017
  • oclc:ocn898771643
  • LC Classification:QA274.23
  • Dewey Decimal:519.2

Table of Contents

Front Cover; Stochastic Differential Equations and Applications; Copyright Page; Table of Contents; Preface; General Notation; Contents of Volume 2; Chapter 1. Stochastic Processes; 1. The Kolmogorov construction of a stochastic process; 2. Separable and continuous processes; 3. Martingales and stopping times; Problems; Chapter 2. Markov Processes; 1. Construction of Markov processes; 2. The Feller and the strong Markov properties; 3. Time-homogeneous Markov processes; Problems; Chapter 3. Brownian Motion; 1. Existence of continuous Brownian motion; 2. Nondifferentiability of Brownian motion

3. Limit theorems4. Brownian motion after a stopping time; 5. Martingales and Brownian motion; 6. Brownian motion in n dimensions; Problems; Chapter 4. The Stochastic Integral; 1. Approximation of functions by step functions; 2. Definition of the stochastic integral; 3. The indefinite integral; 4. Stochastic integrals with stopping time; 5. Itô's formula; 6. Applications of Itô's formula; 7. Stochastic integrals and differentials in n dimensions; Problems; Chapter 5. Stochastic Differential Equations; 1. Existence and uniqueness; 2. Stronger uniqueness and existence theorems

3. The solution …

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Subjects

Équations différentielles stochastiques MATHEMATICS -- Applied MATHEMATICS -- Probability & Statistics Stochastic differential equations

Writers

Friedman, Avner

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