Stochastic Differential Equations: An Introduction with Applications
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin, Heidelberg
Springer Berlin Heidelberg
1992
|
| Ausgabe: | Third Edition |
| Schriftenreihe: | Universitext
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | 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 |
| Beschreibung: | 1 Online-Ressource (XIII, 228 p) |
| ISBN: | 9783662028476 9783540533351 |
| ISSN: | 0172-5939 |
| DOI: | 10.1007/978-3-662-02847-6 |
Internformat
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Datensatz im Suchindex
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| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
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| dewey-search | 519.2 |
| dewey-sort | 3519.2 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| doi_str_mv | 10.1007/978-3-662-02847-6 |
| edition | Third Edition |
| format | Electronic eBook |
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| institution | BVB |
| isbn | 9783662028476 9783540533351 |
| issn | 0172-5939 |
| language | English |
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| spelling | Øksendal, Bernt Verfasser aut Stochastic Differential Equations An Introduction with Applications by Bernt Øksendal Third Edition Berlin, Heidelberg Springer Berlin Heidelberg 1992 1 Online-Ressource (XIII, 228 p) txt rdacontent c rdamedia cr rdacarrier Universitext 0172-5939 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 Mathematics Global analysis (Mathematics) Systems theory Mathematical optimization Distribution (Probability theory) Probability Theory and Stochastic Processes Systems Theory, Control Calculus of Variations and Optimal Control; Optimization Analysis Mathematik Stochastische Differentialgleichung (DE-588)4057621-8 gnd rswk-swf Stochastische Differentialgleichung (DE-588)4057621-8 s 1\p DE-604 https://doi.org/10.1007/978-3-662-02847-6 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Øksendal, Bernt Stochastic Differential Equations An Introduction with Applications Mathematics Global analysis (Mathematics) Systems theory Mathematical optimization Distribution (Probability theory) Probability Theory and Stochastic Processes Systems Theory, Control Calculus of Variations and Optimal Control; Optimization Analysis Mathematik Stochastische Differentialgleichung (DE-588)4057621-8 gnd |
| subject_GND | (DE-588)4057621-8 |
| title | Stochastic Differential Equations An Introduction with Applications |
| title_auth | Stochastic Differential Equations An Introduction with Applications |
| title_exact_search | Stochastic Differential Equations An Introduction with Applications |
| title_full | Stochastic Differential Equations An Introduction with Applications by Bernt Øksendal |
| title_fullStr | Stochastic Differential Equations An Introduction with Applications by Bernt Øksendal |
| title_full_unstemmed | Stochastic Differential Equations An Introduction with Applications by Bernt Øksendal |
| title_short | Stochastic Differential Equations |
| title_sort | stochastic differential equations an introduction with applications |
| title_sub | An Introduction with Applications |
| topic | Mathematics Global analysis (Mathematics) Systems theory Mathematical optimization Distribution (Probability theory) Probability Theory and Stochastic Processes Systems Theory, Control Calculus of Variations and Optimal Control; Optimization Analysis Mathematik Stochastische Differentialgleichung (DE-588)4057621-8 gnd |
| topic_facet | Mathematics Global analysis (Mathematics) Systems theory Mathematical optimization Distribution (Probability theory) Probability Theory and Stochastic Processes Systems Theory, Control Calculus of Variations and Optimal Control; Optimization Analysis Mathematik Stochastische Differentialgleichung |
| url | https://doi.org/10.1007/978-3-662-02847-6 |
| work_keys_str_mv | AT øksendalbernt stochasticdifferentialequationsanintroductionwithapplications |