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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 328 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 324 1
Từ khóa: Partial differential equation, stochastic processes, stochastic calculus, volatility estimation, optimal control, black scholes equation
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