Logo

Lectures on Topics in Stochastic Differential Equations

Small book cover: Lectures on Topics in Stochastic Differential Equations

Lectures on Topics in Stochastic Differential Equations
by

Publisher: Tata Institute of Fundamental Research
ISBN/ASIN: 3540115498
ISBN-13: 9783540115496
Number of pages: 93

Description:
The author's purpose in these lectures was to provide some insight into the properties of solutions to stochastic differential equations. In order to read these notes, one need only know the basic Ito theory of stochastic integrals.

Download or read it online for free here:
Download link
(400KB, PDF)

Similar books

Book cover: Markov Chains and Stochastic StabilityMarkov Chains and Stochastic Stability
by - Springer
The book on the theory of general state space Markov chains, and its application to time series analysis, operations research and systems and control theory. An advanced graduate text and a monograph treating the stability of Markov chains.
(17254 views)
Book cover: Stochastic Analysis - NotesStochastic Analysis - Notes
by
A gentle introduction to the mathematics of Stochastic Analysis. From the table of contents: Introduction; Conditional expectation; Martingales; Stochastic integration - informally; Wiener process; Ito's formula; Bibliography.
(10896 views)
Book cover: Reversibility and Stochastic NetworksReversibility and Stochastic Networks
by - John Wiley and Sons Ltd
The book on vector stochastic processes in equilibrium or stochastic networks, with wide range of applications. It covers the concept of reversibility, the output from a queue, and the epolymerization process quilibrium distribution.
(12451 views)
Book cover: Advanced Stochastic ProcessesAdvanced Stochastic Processes
by - Bookboon
In this book, which is basically self-contained, the following topics are treated thoroughly: Brownian motion as a Gaussian process, Brownian motion as a Markov process, Brownian motion as a martingale, Markov chains, renewal theory, etc.
(4263 views)