株式会社極東書店トップ ＞ 商品一覧 ＞ An Introduction to Stochastic Differential Equations.
商品詳細
An Introduction to Stochastic Differential Equations.
・ISBN 978-1-4704-1054-4 hard US$ 34.00
￥7,966.- (税込) ※（※）価格はご注文時の参考価格となります。
納品価格につきましては書籍の入荷時点で確定となります。
版元の原価改定、外国為替の変動等により異なる場合がございますので、予めご了承下さい。
お気に入り
★★★
| 著者・編者 | Evans, Lawrence C., |
|---|---|
| シリーズ | Monograph Books |
| 出版社 | (American Mathematical Society, US) |
| 出版年月 | 2014 |
| ページ数 | 151 pp. |
| 言語 | ENG |
| ニュース番号 | ＜M25-15581＞ |
解説
This 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 strongly focused upon the interplay between probabilistic intuition and mathematical rigour. Topics include a quick survey of measure theoretic probability theory, followed by an introduction to Brownian motion and the Ito 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).
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).