Stochastic Differential Equations: An Introduction with Applications
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg
Springer Berlin Heidelberg
1985
|
| Series: | Universitext
|
| Subjects: | |
| Online Access: | Volltext |
| Item Description: | These notes are based on a postgraduate course I gave on stochastic differential equations at Edinburgh University in the spring 1982. No previous knowledge about the subject was assumed, but the presentation is based on some background in measure theory. There are several reasons why one should learn more about stochastic differential equations: They have a wide range of applications outside mathematics, there are many fruitful connections to other mathematical disciplines and the subject has a rapidly developing life of its own as a fascinating research field with many interesting unanswered questions. Unfortunately most of the literature about stochastic differential equations seems to place so much emphasis on rigor and completeness that is scares many nonexperts away. These notes are an attempt to approach the subject from the nonexpert point of view: Not knowing anything (except rumours, maybe) 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? I would not be so interested in the proof of the most general case, but rather in an easier proof of a special case, which may give just as much of the basic idea in the argument. And I would be willing to believe some basic results without proof (at first stage, anyway) in order to have time for some more basic applications |
| Physical Description: | 1 Online-Ressource (XIII, 208 p) |
| ISBN: | 9783662130506 9783540152927 |
| ISSN: | 0172-5939 |
| DOI: | 10.1007/978-3-662-13050-6 |
Staff View
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Record in the Search Index
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| dewey-full | 519.2 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
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| discipline | Mathematik |
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:21:13Z |
| institution | BVB |
| isbn | 9783662130506 9783540152927 |
| issn | 0172-5939 |
| language | English |
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| spelling | Øksendal, Bernt Verfasser aut Stochastic Differential Equations An Introduction with Applications by Bernt Øksendal Berlin, Heidelberg Springer Berlin Heidelberg 1985 1 Online-Ressource (XIII, 208 p) txt rdacontent c rdamedia cr rdacarrier Universitext 0172-5939 These notes are based on a postgraduate course I gave on stochastic differential equations at Edinburgh University in the spring 1982. No previous knowledge about the subject was assumed, but the presentation is based on some background in measure theory. There are several reasons why one should learn more about stochastic differential equations: They have a wide range of applications outside mathematics, there are many fruitful connections to other mathematical disciplines and the subject has a rapidly developing life of its own as a fascinating research field with many interesting unanswered questions. Unfortunately most of the literature about stochastic differential equations seems to place so much emphasis on rigor and completeness that is scares many nonexperts away. These notes are an attempt to approach the subject from the nonexpert point of view: Not knowing anything (except rumours, maybe) 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? I would not be so interested in the proof of the most general case, but rather in an easier proof of a special case, which may give just as much of the basic idea in the argument. And I would be willing to believe some basic results without proof (at first stage, anyway) in order to have time for some more basic applications Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Mathematik Stochastische Differentialgleichung (DE-588)4057621-8 gnd rswk-swf Stochastische Differentialgleichung (DE-588)4057621-8 s 1\p DE-604 https://doi.org/10.1007/978-3-662-13050-6 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 Distribution (Probability theory) Probability Theory and Stochastic Processes 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 Distribution (Probability theory) Probability Theory and Stochastic Processes Mathematik Stochastische Differentialgleichung (DE-588)4057621-8 gnd |
| topic_facet | Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Mathematik Stochastische Differentialgleichung |
| url | https://doi.org/10.1007/978-3-662-13050-6 |
| work_keys_str_mv | AT øksendalbernt stochasticdifferentialequationsanintroductionwithapplications |