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Stochastic differential equations, backward SDEs, partial differential equations

Author: E Pardoux; Aurel Râșcanu
Publisher: Cham, Switzerland : Springer, [2014] ©2014
Series: Stochastic modelling and applied probability, 69.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
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Stochastic Differential Equations, Backward SDEs, Partial Differential Equations

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Document Type: Book
All Authors / Contributors: E Pardoux; Aurel Râșcanu
ISBN: 9783319057132 3319057138
OCLC Number: 883236744
Description: xvii, 667 pages ; 25 cm.
Contents: Introduction.- Background of Stochastic Analysis.- Ito's Stochastic Calculus.- Stochastic Differential Equations.- SDE with Multivalued Drift.- Backward SDE.- Annexes.- Bibliography.- Index.
Series Title: Stochastic modelling and applied probability, 69.
Responsibility: Etienne Pardoux, Aurel Răşcanu.
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"This 668-page magnum opus of stochastic ODEs and PDEs belongs on the shelf of every researcher in these areas, as well as any mathematician or scientist who wants to learn more about the subject. Read more...

 
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