Lectures on Topics in Stochastic Differential Equations
by Daniel W. Stroock
Publisher: Tata Institute of Fundamental Research 1982
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
Applied Stochastic Processes in Science and Engineeringby Matt Scott - University of Waterloo
This book is designed as an introduction to the ideas and methods used to formulate mathematical models of physical processes in terms of random functions. A senior undergraduate course offered to students with a suitably mathematical background.
(9804 views)
Markov Chains and Stochastic Stabilityby S.P. Meyn, R.L. Tweedie - 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.
(24036 views)
Lectures on Stochastic Differential Equations and Malliavin Calculusby S. Watanabe - Tata Institute of Fundamental Research
The author's main purpose in these lectures was to study solutions of stochastic differential equations as Wiener functionals and apply to them some infinite dimensional functional analysis. This idea was due to P. Malliavin.
(11902 views)
Lectures on Stochastic Flows and Applicationsby H. Kunita - 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.
(10612 views)