Stochastic differential equations and applications
by Mao, Xuerong
Mao (statistics and modeling science, U. of Strathclyde) has thoroughly revised this advanced undergraduate and graduate text, in part to describe several popular stochastic models and applications in population systems and finance. He covers generalized Gronwall inequality and Bihari inequality, Brownian motions and stochastic intervals, analysis of Ito and Feynman-Kac formulas, the Ruzumikhin technique of the Lyapunov method, approximate solutions to stochastic differential equations accordin…
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- Full title :Stochastic differential equations and applications / Xuerong Mao.
Summary
Mao (statistics and modeling science, U. of Strathclyde) has thoroughly revised this advanced undergraduate and graduate text, in part to describe several popular stochastic models and applications in population systems and finance. He covers generalized Gronwall inequality and Bihari inequality, Brownian motions and stochastic intervals, analysis of Ito and Feynman-Kac formulas, the Ruzumikhin technique of the Lyapunov method, approximate solutions to stochastic differential equations according to Cauchy-Marayama and Carathedory methods. Appropriate for pure and applied mathematicians, statisticians, engineers in control and communications, information scientists, physicists and economists. Previously published under title Stochastic Differential Equations and their Applications in 1997. Distributed by ISBS. Annotation ©2009 Book News, Inc., Portland, OR (booknews.com).
Read More ↓Edition Statements
- Publication Date:©2010.
- Edition:2nd ed
Publication Statements
- Publisher(s):Woodhead Pub
- Place of Publication:Great Abington, Cambridge, UK
- Language:eng
- Publication Date:©2010.
Notes
"Reprinted by Woodhead Publishing Limited, 2011"--Title page verso.
The Physical Object
- Description:xviii, 422 pages ; : 24 cm
Edition Identifiers
- ISBN:9781904275343, 1904275346
- oclc:ocn732354509
- LC Classification:QA274.23
- Dewey Decimal:519.2
Table of Contents
Brownian motion and stochastic integrals -- Stochastic differential equations -- Linear stochastic differential equations -- Stability of stochastic differential equations -- Stochastic functional differential equations -- Stochastic equations of neutral type -- Backward stochastic differential equations -- Stochastic oscillators -- Applications to economics and finance -- Stochastic neural networks -- Stochastic delay population systems -- Notes -- references and index.
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