Stochastic Differential Equations: An Introduction With Applications. 5th ed.

Oksendal, Bernt

ISBN 10: 3540637206 ISBN 13: 9783540637202

Editorial: Secaucus, New Jersey, U.S.A.: Springer Verlag, 1998

Idioma: Ingl�s

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Descripci�n

Trade paperback in very good + condition. 5th edition.

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Detalles bibliogr�ficos

T�tulo

Stochastic Differential Equations: An Introduction With Applications. 5th ed.

Editor

Secaucus, New Jersey, U.S.A.: Springer Verlag

Fecha de publicaci�n

1998

Idioma

Ingl�s

ISBN 10

3540637206

ISBN 13

9783540637202

Encuadernaci�n

Soft cover

Edici�n

2� Edici�n

Estado

Very Good

Cat�logos de vendedores

Mathematics

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Sinopsis

The author, a lucid mind with a fine pedagogical instinct, has written a splendid text. 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, lie frequently returns to these problems and variants thereof and to many other problems to show how the theory works and to motivate the next step in the theoretical development. Needless to say, he restricts himself to stochastic integration with respect to Brownian motion. He is not hesitant to give some basic results without proof in order to leave room for "some more basic applications" The book 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. The 5th edition of this well-established text includes, besides corrections and other improvements, a new chapter (Chapter 12) on applications to mathematical finance.

Rese�a del editor

This book gives an introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to motivate and illustrate the theory and show its importance for many applications in e.g. economics, biology and physics. The basic idea of the presentation is to start from some basic results (without proofs) of the easier cases and develop the theory from there, and to concentrate on the proofs of the easier case (which nevertheless are often sufficiently general for many purposes) in order to be able to reach quickly the parts of the theory which is most important for the applications. The new feature of this 5th edition is an extra chapter on applications to mathematical finance.

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