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.
(14629 views)
Book cover: Stochastic Differential Equations: Models and NumericsStochastic Differential Equations: Models and Numerics
by - KTH
The goal of this course is to give useful understanding for solving problems formulated by stochastic differential equations models in science, engineering and finance. Typically, these problems require numerical methods to obtain a solution.
(2116 views)
Book cover: Lectures on Stochastic Flows and ApplicationsLectures on Stochastic Flows and Applications
by - Tata Institute Of Fundamental Research
The author presents basic properties of stochastic flows, specially of Brownian flows and their relations with local characteristics and with stochastic differential equations. Various limit theorems for stochastic flows are presented.
(3992 views)
Book cover: Probability Theory and Stochastic Processes with ApplicationsProbability Theory and Stochastic Processes with Applications
by - Overseas Press
This text covers material of a basic probability course, discrete stochastic processes including Martingale theory, continuous time stochastic processes like Brownian motion and stochastic differential equations, estimation theory, and more.
(5400 views)