Stochastic differential equations
an introduction with applications
by B. K. Øksendal
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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. For the 6th edition the author has added further exercises and, for the first time, solutions to many of the exercises are provided. This corrected 6th printing of the 6th edition contains additional corrections and useful improvements, based in part on helpful comments from the readers.
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Subjects
Stochastic differential equations, Mathematics, Global analysis (Mathematics), Engineering mathematics, Distribution (Probability theory), Mathematical optimization, Differential equations, partial, Systems theory, Differential equations, Équations différentielles stochastiques, Economics, Qa274.23 .o47 2003, 519.2Showing 7 featured editions. View all 7 editions?
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1
Stochastic differential equations: an introduction with applications
2007, Springer
in English
- 6th ed.
3540047581 9783540047582
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2
Stochastic differential equations: an introduction with applications
2003, Springer
in English
- 6th ed.
3540047581 9783540047582
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aaaa
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WorldCat
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3
Stochastic differential equations: an introduction with applications
1998, Springer
in English
- 5th ed.
3540637206 9783540637202
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4
Stochastic differential equations: an introduction with applications
1995, Springer
in English
- 4th ed.
3540602437 9783540602439
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5
Stochastic differential equations: an introduction with applications
1992, Springer
in English
- 3rd ed.
0387533354 9780387533353
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6
Stochastic differential equations: an introduction with applications
1989, Springer-Verlag
in English
- 2nd ed.
0387517405 9780387517407
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7
Stochastic differential equations: an introduction with applications
1985, Springer-Verlag
in English
038715292X 9780387152929
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Edition Notes
Includes bibliographical references (p. [345]-351) and index.
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Work Description
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, he 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.
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| July 18, 2024 | Edited by MARC Bot | import existing book |
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