Stochastic Differential Equations. An Introduction with Applications
6th edition

Par : Bernt Oksendal
Formats :
Grand Format
63,60 €
  • Nombre de pages360
  • FormatGrand Format
  • PrésentationBroché
  • Poids0.57 kg
  • Dimensions15,6 cm × 23,5 cm × 2,4 cm
  • ISBN3-540-04758-1
  • EAN9783540047582
  • Date de parution01/01/2003
  • CollectionUniversitext
  • ÉditeurSpringer

Résumé

This 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 to start from some basic results (without proofs) of the easier cases and develop the theory from there, and to concentrate on the proofs of the easier case (which nevertheless are often sufficiently general for many purposes) in order to be able to reach quickly the parts of the theory which is most important for the applications.
For the 6th edition the author has added further exercises and, for the first time, solutions to many of the exercises are provided. This corrected 6th printing of the 6th edition contains additional corrections and useful improvements, based in part on helpful comments from the readers.

A propos de Bernt Oksendal

Bernt Oksendal was born in Fredrikstad, Norway in 1945. He studied at the University of Oslo, and obtained his Ph.D from UCLA. He has been a professor at the University of Oslo since 1991, and at the same time an adjunct professor at the N'orwegian School of Economics and Business Administration, Bergen, Norway, since 1992. He has been a member of the Norwegian Academy of Science and Letters since 1996.
His main field of interest is stochastic analysis, including stochastic control, optimal stopping, stochastic ordinary and partial differential equations and applications, particularly to physics, biology and finance. Oksendal's 120 publications include 9 books. His non-mathematical interests and pleasures include jogging, music, nature and wildlife.
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