Stochastic differential equations (Ergebnisse der Mathematik und ihrer Grenzgebiete)
| Author | : | |
| Rating | : | 4.34 (934 Votes) |
| Asin | : | 0387059466 |
| Format Type | : | paperback |
| Number of Pages | : | 354 Pages |
| Publish Date | : | 0000-00-00 |
| Language | : | English |
DESCRIPTION:
Language Notes Text: English, Russian (translation)
Although this monograph treats one of the most modern branches of applied mathematics, it can be read with profit by anyone with a knowledge of elementary differential equations armed with a solid course in stochastic processes from the measure-theoretic point of view.. In addition to systematically ab stracting most of the salient results obtained thus far in the theory, it includes much new material on asymptotic and stability properties along with a potentially important generalization to equations defined with the aid of the so-called random Poisson measure whose solutions possess jump discontinuities. As it gradually became clear that a great number of real phenomena in control theory, physics, biology, economics and other areas could be modelled by differential equations with stochastic perturbation terms, this research became somewhat feverish, with the results that a) the number of theroretical papers alone now numbers several hundred and b) workers interested in the field (especially from an applied viewpoint) have had no opportunity to consult a systematic account. This monograph, writ
Five Stars jonathan mattingly Great book of experts. Nice mix of PDE and probabilistic calculations.