Theory and Applications of Stochastic Differential Equations

Theory and Applications of Stochastic Differential Equations

by Zeev Schuss

Hardcover

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Product Details

ISBN-13: 9780471043942
Publisher: Wiley
Publication date: 11/26/1980
Series: Wiley Series in Probability and Statistics - Applied Probability and Statistics Section Series , #27
Pages: 321
Product dimensions: 1.26(w) x 3.39(h) x (d)

Table of Contents

Review of Probability Theory.

The Brownian Motion.

The Stochastic (ITô) Calculus.

Stochastic Differential Equations.

Stochastic Differential Equations and Partial Differential Equations.

Asymptotic Analysis of Stochastic Differential Equations.

The Exit Problem and Singular Perturbations.

Diffusion Across Potential Barriers.

Filtering Theory.

Topics in Classical Mechanics and in Differential Equations.

Appendix: Elements of Electrical Circuits.

References.

Index.

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