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An Introduction to Stochastic Differential Equations Version 1.2
These notes survey, without too many precise details, the basic theory of probability, random differential equations and some applications. Stochastic differential equations is usually, and justly, regarded as a graduate level subject. A really careful treatment assumes the students’ familiarity with probability theory, measure theory, ordinary differential equations, and partial differential equations as well. But as an experiment I...
130 p itc 27/01/2013 329 1
Từ khóa: asic probability theory, differential equations, Stochastic differential equation, applications of differential equations, ordinary differential equations, partial differential equations, toán học
Partial Differential Equations and Diffusion Processes
In mathematics, a partial differential equation (PDE) is a differential equation that contains unknown multivariable functions and their partial derivatives. (This is in contrast to ordinary differential equations, which deal with functions of a single variable and their derivatives.) PDEs are used to formulate problems involving functions of several variables, and are either solved by hand, or used to create a relevant computer model. PDEs...
108 p itc 27/01/2013 326 1
Từ khóa: Partial differential equation, stochastic processes, stochastic calculus, volatility estimation, optimal control, black scholes equation
Elementary Differential Equations and Boundary Value Problems
Written from the perspective of the applied mathematician, the latest edition of this bestselling book focuses on the theory and practical applications of Differential Equations to engineering and the sciences. Emphasis is placed on the methods of solution, analysis, and approximation. Use of technology, illustrations, and problem sets help readers develop an intuitive understanding of the material. Historical footnotes trace the development...
1310 p itc 08/01/2013 308 2
Từ khóa: differential equations, theory and practical applications of Differential, boundary value problems, elementary differential equations, phương trình vi phân, toán học
A Unified Approach to Boundary Value Problems
This book presents a new approach to analyzing initial-boundary value problems for integrable partial differential equations (PDEs) in two dimensions, a method that the author first introduced in 1997 and which is based on ideas of the inverse scattering transform. This method is unique in also yielding novel integral representations for the explicit solution of linear boundary value problems, which include such classical problems as the heat...
352 p itc 08/01/2013 289 1
Từ khóa: Evolution Equations on the Half-Line, Evolution Equations on the Finite Interval, differential equations, phương trình vi phân, linear boundary value problems, linear evolution equations
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