Stochastic differential equations (Book, 1972) [WorldCat.org]
skip to content
Stochastic differential equations Preview this item
ClosePreview this item
Checking...

Stochastic differential equations

Author: Iosif Il'ich Gihman; Anatolii Vladimirovich Skorokhod
Publisher: Berlin : Springer-Verlag, ©1972.
Series: Ergebnisse der mathematik und ihrer grenzgebiete, no. 72.
Edition/Format:   Print book : EnglishView all editions and formats
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Document Type: Book
All Authors / Contributors: Iosif Il'ich Gihman; Anatolii Vladimirovich Skorokhod
ISBN: 3540059466 9783540059462 0387059466 9780387059464
OCLC Number: 318331323
Description: viii, 354 p. ; 24 cm.
Contents: I. One-dimensional Stochastic Differential Equations of First Order.- 1. Stochastic Integrals and Differentials.- 1. The Wiener Process.- 2. The Stochastic Integral.- 3. Properties of Stochastic Integrals as Function of the Upper Limit.- 4. Stochastic Integrals with Random Limits.- 2. The Solutions of Stochastic Differential Equations.- 5. Stochastic Differential Equations of First Order.- 6. Existence and Uniqueness of the Solutions.- 7. Stochastic Equations which Depend on a Parameter.- 8. Dependence of the Solutions of Stochastic Differential Equations on the Initial Data.- 3. Solutions of Stochastic Differential Equations and Markov Diffusion Processes.- 9. Markov Processes. Diffusion Processes.- 10. Diffusion Processes as Solutions of Stochastic Equations.- 11. Kolmogorov's Equation.- 12. Measures in Function Space Induced by Diffusion Processes.- 13. Formulas for Transition Density Functions.- 14. Kolmogorov's Equation for the Transition Probability Density.- 15. Time-homogeneous Solutions of Stochastic Differential Equations.- 4. Asymptotic Behavior of the Solutions of Stochastic Equations.- 16. Bounded and Unbounded Solutions of Stochastic Equations.- 17. Theorems on the Asymptotic Behavior of Solutions.- 18. Ergodic Theorems.- 19. Stability of Solutions.- 20. Some Other Limit Theorems.- 5. Stochastic Differential Equations on a Finite Spatial Interval.- 21. Boundary Conditions at the Ends of the Interval.- 22. Processes with Absorption at the Boundary.- 23. Instantaneous Reflection at the Boundary.- 24. Delayed Reflection at the Boundary.- 25. Processes with Jump Reflection at the Boundary.- II. Systems of Stochastic Differential Equations.- 1. Vector Stochastic Differential Equations.- 1. Stochastic Line Integrals.- 2. Stochastic Line Integrals as Function of the Upper Limit.- 3. Stochastic Differential Equations.- 2. Stochastic Differential Equations without After-effect.- 4. Preliminary Remarks.- 5. Some Special Types of Stochastic Integrals.- 6. The Generalized Ito Formula for Stochastic Differentials.- 7. Stochastic Differential Equations without After-effect.- 8. Stochastic Differential Equations Depending on a Parameter. Differentiability w.r.t. the Initial Data.- 9. Solutions of Stochastic Differential Equations as Markov Processes.- 10. The Distribution of Functional of the Solutions of Stochastic Differential Equations.- 11. Some Problems Connected with Homogeneous Stochastic Differential Equations.- 3. Asymptotic Behavior of the Solutions of Stochastic Differential Equations.- 12. Stability of Solutions.- 13. Boundedness of the Solutions of Stochastic Differential Equations.- 14. Limit Theorems for Stochastic Differential Equations.
Series Title: Ergebnisse der mathematik und ihrer grenzgebiete, no. 72.
Responsibility: Iosif Il'ich Gihman and Anatolii Vladimirovich Skorokhod ; translated from the russian by Samuel Kotz.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.