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The Resource An introduction to stochastic differential equations, Lawrence C. Evans

An introduction to stochastic differential equations, Lawrence C. Evans

Label
An introduction to stochastic differential equations
Title
An introduction to stochastic differential equations
Statement of responsibility
Lawrence C. Evans
Title variation
Introduction to SDE
Creator
Author
Subject
Language
eng
Summary
"This short book provides a quick, but very readable introduction to stochastic differential equations, that is, to differential equations subject to additive "white noise" and related random disturbances. The exposition is concise and strongly focused upon the interplay between probabilistic intuition and mathematical rigor. Topics include a quick survey of measure theoretic probability theory, followed by an introduction to Brownian motion and the Itô stochastic calculus, and finally the theory of stochastic differential equations. The text also includes applications to partial differential equations, optimal stopping problems and options pricing. This book can be used as a text for senior undergraduates or beginning graduate students in mathematics, applied mathematics, physics, financial mathematics, etc., who want to learn the basics of stochastic differential equations. The reader is assumed to be fairly familiar with measure theoretic mathematical analysis, but is not assumed to have any particular knowledge of probability theory (which is rapidly developed in Chapter 2 of the book)."--
Assigning source
Provided by publisher
Cataloging source
DLC
http://library.link/vocab/creatorDate
1949-
http://library.link/vocab/creatorName
Evans, Lawrence C.
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/subjectName
Stochastic differential equations
Label
An introduction to stochastic differential equations, Lawrence C. Evans
Instantiates
Publication
Copyright
Bibliography note
Includes bibliographical references (pages 147-148) and index
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
txt
Content type MARC source
rdacontent.
Contents
1. Introduction -- 2. A crash course in probability theory -- 3. Brownian motion and 'white noise' -- 4. Stochastic integrals -- 5. Stochastic differential equations -- 6. Applications
Control code
FIEb1775379x
Dimensions
26 cm.
Extent
viii, 151 pages
Isbn
9781470410544
Media category
unmediated
Media MARC source
rdamedia.
Media type code
n
Other physical details
illustrations
System control number
(OCoLC)852681899
Label
An introduction to stochastic differential equations, Lawrence C. Evans
Publication
Copyright
Bibliography note
Includes bibliographical references (pages 147-148) and index
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
txt
Content type MARC source
rdacontent.
Contents
1. Introduction -- 2. A crash course in probability theory -- 3. Brownian motion and 'white noise' -- 4. Stochastic integrals -- 5. Stochastic differential equations -- 6. Applications
Control code
FIEb1775379x
Dimensions
26 cm.
Extent
viii, 151 pages
Isbn
9781470410544
Media category
unmediated
Media MARC source
rdamedia.
Media type code
n
Other physical details
illustrations
System control number
(OCoLC)852681899

Library Locations

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      43.803074 11.283055
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