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Stochastic Differential Equations and Applications
Paperback
Series: Dover Books on Mathematics
General MathematicsProbability & Statistics
Publisher Price: $32.95
ISBN13: 9780486453590
Publisher: Dover Pubn Inc
Published: Dec 1 2006
Pages: 560
Weight: 1.25
Height: 1.09 Width: 6.40 Depth: 8.52
Language: English
Volume 2 begins with an overview of auxiliary results in partial differential equations, followed by chapters on nonattainability, stability and spiraling of solutions; the Dirichlet problem for degenerate elliptic equations; small random perturbations of dynamical systems; and fundamental solutions of degenerate parabolic equations. Final chapters examine stopping time problems and stochastic games and stochastic differential games. Problems appear at the end of each chapter, and a familiarity with elementary probability is the sole prerequisite.
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