Random Fields and Stochastic Partial Differential Equations, Y. Rozanov

Автор: Oksendal
Название: Stochastic Differential Equations
ISBN: 3540047581 ISBN-13(EAN): 9783540047582
Издательство: Springer
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Цена: 54820.00 T
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Описание: Gives an introduction to the basic theory of stochastic calculus and its applications. This book offers examples in order to motivate and illustrate the theory and show its importance for many applications in for example economics, biology and physics.

Автор: Platen
Название: Numerical Solution of Stochastic Differential Equations with Jumps in Finance
ISBN: 3642120571 ISBN-13(EAN): 9783642120572
Издательство: Springer
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Цена: 84780.00 T
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Описание: It presents many new results on higher-order methods for scenario and Monte Carlo simulation, including implicit, predictor corrector, extrapolation, Markov chain and variance reduction methods, stressing the importance of their numerical stability.

Автор: Giuseppe Da Prato; Luciano Tubaro
Название: Stochastic Partial Differential Equations and Applications
ISBN: 3540172114 ISBN-13(EAN): 9783540172116
Издательство: Springer
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Цена: 41920.00 T
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Автор: Protter Philip E.
Название: Stochastic Integration and Differential Equations / Second Edition, Version 2.1
ISBN: 3540003134 ISBN-13(EAN): 9783540003137
Издательство: Springer
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Цена: 79190.00 T
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Описание: Includes the proof of the fundamental Doob-Meyer decomposition theorem. This book contains the more general version of the Girsanov theorem due to Lenglart and martingale representation, including both the Jacod-Yor theory and Emery`s examples of martingales that actually have martingale representation.

Автор: Peter Kotelenez
Название: Stochastic Ordinary and Stochastic Partial Differential Equations
ISBN: 1489986588 ISBN-13(EAN): 9781489986580
Издательство: Springer
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Цена: 121110.00 T
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Описание: This book analyzes mathematical models of time-dependent physical phenomena on microscopic, macroscopic and mesoscopic levels. It provides a rigorous derivation of each level from the preceding one and examines the resulting mesoscopic equations in detail.

Название: Stochastic Differential Equations, Backward SDEs, Partial Di
ISBN: 3319057138 ISBN-13(EAN): 9783319057132
Издательство: Springer
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Цена: 130430.00 T
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Описание: This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and second order partial differential equations (PDEs), and financial mathematics.

Автор: Lototsky, Sergey V. Rozovsky, Boris L.
Название: Stochastic partial differential equations
ISBN: 3319586459 ISBN-13(EAN): 9783319586458
Издательство: Springer
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Цена: 65210.00 T
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Описание: Taking readers with a basic knowledge of probability and real analysis to the frontiers of a very active research discipline, this textbook provides all the necessary background from functional analysis and the theory of PDEs.

Автор: Zhongqiang Zhang; George Em Karniadakis
Название: Numerical Methods for Stochastic Partial Differential Equations with White Noise
ISBN: 3319575104 ISBN-13(EAN): 9783319575100
Издательство: Springer
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Цена: 102480.00 T
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Описание: This book covers numerical methods for stochastic partial differential equations with white noise using the framework of Wong-Zakai approximation. In addition, stochastic Euler equations are exploited as an application of stochastic collocation methods, where a numerical comparison with other integration methods in random space is made.