图书信息
图书目录
随机微分方程导论（影印版）
暂无简介
作者：
Lawrence C. Evans
定价：
99.00元
出版时间：
2021-03-11
ISBN：
978-7-04-055649-0
物料号：
55649-00
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
重点项目：
暂无
版面字数：
280.00千字
开本：
16开
全书页数：
暂无
装帧形式：
精装
- 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
