随机微分方程导论（影印版）

样章

作者：

Lawrence C. Evans

定价：

99.00元

ISBN：

978-7-04-055649-0

版面字数：

280.000千字

开本：

16开

全书页数：

暂无

装帧形式：

精装

重点项目：

暂无

出版时间：

2021-03-11

读者对象：

学术著作

一级分类：

自然科学

二级分类：

数学与统计

三级分类：

数学与统计其他

暂无

前辅文
Chapter 1. Introduction
- §1.1. Deterministic and random differential equations
- §1.2. Stochastic differentials
- §1.3. Itô’s chain rule
Chapter 2. A Crash Course in Probability Theory
- §2.1. Basic definitions
- §2.2. Expected value, variance
- §2.3. Independence
- §2.4. Some probabilistic methods
- §2.5. Law of Large Numbers, Central Limit Theorem
- §2.6. Conditional expectation
- §2.7. Martingales
Chapter 3. Brownian Motion and “White Noise”
- §3.1. Motivation
- §3.2. Definition, elementary properties
- §3.3. Construction of Brownian motion
- §3.4. Sample path properties
- §3.5. Markov property
Chapter 4. Stochastic Integrals
- §4.1. Preliminaries
- §4.2. Itô’s integral
- §4.3. Itô’s chain and product rules
- §4.4. Itô’s integral in higher dimensions
Chapter 5. Stochastic Differential Equations
- §5.1. Definitions, examples
- §5.2. Existence and uniqueness of solutions
- §5.3. Properties of solutions
- §5.4. Linear stochastic differential equations
Chapter 6. Applications
- §6.1. Stopping times
- §6.2. Applications to PDE, Feynman–Kac formula
- §6.3. Optimal stopping
- §6.4. Options pricing
- §6.5. The Stratonovich integral
Appendix
Exercises
Notes and Suggested Reading
Bibliography
Index