Stochastic Differential Equations

✍ Scribed by C. Doleans–Dade (auth.), Jaures Cecconi (eds.)

Publisher: Springer-Verlag Berlin Heidelberg
Year: 2011
Tongue: English
Leaves: 241
Series: C.I.M.E. Summer Schools 77
Edition: 1
Category: Library

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✦ Synopsis

C. Doleans-Dade: Stochastic processes and stochastic differential equations.- A. Friedman: Stochastic differential equations and applications.- D.W. Stroock, S.R.S. Varadhan: Theory of diffusion processes.- G.C. Papanicolaou: Wave propagation and heat conduction in a random medium.- C. Dewitt Morette: A stochastic problem in Physics.- G.S. Goodman: The embedding problem for stochastic matrices.

✦ Table of Contents

Front Matter....Pages i-iii
Stochastic Processes and Stochastic Differential Equations....Pages 5-73
Stochastic Differential Equations and Applications....Pages 75-148
Theory of Diffusion Processes....Pages 149-191
Wave Propagation and Heat Conduction in a Random Medium....Pages 193-218
A Stochastic Problem in Physics....Pages 219-230
The Embedding Problem for Stochastic Matrices....Pages 231-249

✦ Subjects

Probability Theory and Stochastic Processes; Partial Differential Equations

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