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Theory and Applications of Stochastic Processes

2009-12-09 Mathematics
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Release : 2009-12-09
Genre : Mathematics
Kind : eBook
Book Rating : 059/5 ( reviews)

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Book Synopsis Theory and Applications of Stochastic Processes by : Zeev Schuss

Download or read book Theory and Applications of Stochastic Processes written by Zeev Schuss. This book was released on 2009-12-09. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic processes and diffusion theory are the mathematical underpinnings of many scientific disciplines, including statistical physics, physical chemistry, molecular biophysics, communications theory and many more. Many books, reviews and research articles have been published on this topic, from the purely mathematical to the most practical. This book offers an analytical approach to stochastic processes that are most common in the physical and life sciences, as well as in optimal control and in the theory of filltering of signals from noisy measurements. Its aim is to make probability theory in function space readily accessible to scientists trained in the traditional methods of applied mathematics, such as integral, ordinary, and partial differential equations and asymptotic methods, rather than in probability and measure theory.

Theory and Applications of Stochastic Differential Equations

1980 Mathematics
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Release : 1980
Genre : Mathematics
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Book Synopsis Theory and Applications of Stochastic Differential Equations by : Zeev Schuss

Download or read book Theory and Applications of Stochastic Differential Equations written by Zeev Schuss. This book was released on 1980. Available in PDF, EPUB and Kindle. Book excerpt: Presents theory, sources, and applications of stochastic differential equations of Ito's type; those containing white noise. Closely studies first passage problems by modern singular perturbation methods and their role in various fields of science. Introduces analytical methods to obtain information on probabilistic quantities. Demonstrates the role of partial differential equations in this context. Clarifies the relationship between the complex mathematical theories involved and sources of the problem for physicists, chemists, engineers, and other non-mathematical specialists.

Theory of Stochastic Differential Equations with Jumps and Applications

2006-05-06 Technology & Engineering
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Release : 2006-05-06
Genre : Technology & Engineering
Kind : eBook
Book Rating : 758/5 ( reviews)

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Book Synopsis Theory of Stochastic Differential Equations with Jumps and Applications by : Rong SITU

Download or read book Theory of Stochastic Differential Equations with Jumps and Applications written by Rong SITU. This book was released on 2006-05-06. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic differential equations (SDEs) are a powerful tool in science, mathematics, economics and finance. This book will help the reader to master the basic theory and learn some applications of SDEs. In particular, the reader will be provided with the backward SDE technique for use in research when considering financial problems in the market, and with the reflecting SDE technique to enable study of optimal stochastic population control problems. These two techniques are powerful and efficient, and can also be applied to research in many other problems in nature, science and elsewhere.

Stochastic Differential Equations

2007 Science
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Release : 2007
Genre : Science
Kind : eBook
Book Rating : 623/5 ( reviews)

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Book Synopsis Stochastic Differential Equations by : Peter H. Baxendale

Download or read book Stochastic Differential Equations written by Peter H. Baxendale. This book was released on 2007. Available in PDF, EPUB and Kindle. Book excerpt: The first paper in the volume, Stochastic Evolution Equations by N V Krylov and B L Rozovskii, was originally published in Russian in 1979. After more than a quarter-century, this paper remains a standard reference in the field of stochastic partial differential equations (SPDEs) and continues to attract attention of mathematicians of all generations, because, together with a short but thorough introduction to SPDEs, it presents a number of optimal and essentially non-improvable results about solvability for a large class of both linear and non-linear equations.

Stochastic Differential Equations and Applications

2014-06-20 Mathematics
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Release : 2014-06-20
Genre : Mathematics
Kind : eBook
Book Rating : 876/5 ( reviews)

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Book Synopsis Stochastic Differential Equations and Applications by : Avner Friedman

Download or read book Stochastic Differential Equations and Applications written by Avner Friedman. This book was released on 2014-06-20. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Differential Equations and Applications, Volume 1 covers the development of the basic theory of stochastic differential equation systems. This volume is divided into nine chapters. Chapters 1 to 5 deal with the basic theory of stochastic differential equations, including discussions of the Markov processes, Brownian motion, and the stochastic integral. Chapter 6 examines the connections between solutions of partial differential equations and stochastic differential equations, while Chapter 7 describes the Girsanov's formula that is useful in the stochastic control theory. Chapters 8 and 9 evaluate the behavior of sample paths of the solution of a stochastic differential system, as time increases to infinity. This book is intended primarily for undergraduate and graduate mathematics students.

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