| Author | : Andrey Pilipenko |
| File Size | : 52,8 Mb |
| Publisher | : Universitätsverlag Potsdam |
| Language | : English |
| Release Date | : 02 June 2024 |
| ISBN | : 9783869562971 |
| Pages | : 90 pages |
Download or read online An Introduction to Stochastic Differential Equations with Reflection written by Andrey Pilipenko, published by Universitätsverlag Potsdam which was released on 2014. Get An Introduction to Stochastic Differential Equations with Reflection Books now! Available in PDF, ePub and Kindle.
Get BookMany important physical variables satisfy certain dynamic evolution systems and can take only non-negative values. Therefore, one can study such variables by studying these dynamic systems. One can put some conditions on the coefficients to ensure non-negative values in deterministic cases. However, as a random process disturbs the system, the
Get BookStochastic differential equations (SDEs) are a powerful tool in science, mathematics, economics and finance. This book will help the reader to master the basic theory and learn some applications of SDEs. In particular, the reader will be provided with the backward SDE technique for use in research when considering financial
Get BookThese notes provide a concise introduction to stochastic differential equations and their application to the study of financial markets and as a basis for modeling diverse physical phenomena. They are accessible to non-specialists and make a valuable addition to the collection of texts on the topic. --Srinivasa Varadhan, New York
Get BookFrom the reviews: "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
Get BookThis 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
Get BookA highly readable introduction to stochastic integration and stochastic differential equations, this book combines developments of the basic theory with applications. It is written in a style suitable for the text of a graduate course in stochastic calculus, following a course in probability. Using the modern approach, the stochastic integral
Get BookVolume 1: Deterministic Modeling, Methods and Analysis For more than half a century, stochastic calculus and stochastic differential equations have played a major role in analyzing the dynamic phenomena in the biological and physical sciences, as well as engineering. The advancement of knowledge in stochastic differential equations is spreading rapidly across
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