Overview
The first part explores Markov processes and Brownian motion; the stochastic integral and stochastic differential equations; elliptic and parabolic partial differential equations and their relations to stochastic differential equations; the Cameron-Martin-Girsanov theorem; and asymptotic estimates for solutions. The section concludes with a look at recurrent and transient solutions.
Volume 2 begins with an overview of auxiliary results in partial differential equations, followed by chapters on nonattainability, stability and spiraling of solutions; the Dirichlet problem for degenerate elliptic equations; small random perturbations of dynamical systems; and fundamental solutions of degenerate parabolic equations. Final chapters examine stopping time problems and stochastic games and stochastic differential games. Problems appear at the end of each chapter, and a familiarity with elementary probability is the sole prerequisite.
This book title, Stochastic Differential Equations and Applications - 9780486789347, ISBN: 9780486789347, by Avner Friedman, published by Dover Publications (December 23, 2013) is available in hardcover. Our minimum order quantity is 25 copies. All standard bulk book orders ship FREE in the continental USA and delivered in 4-10 business days.
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