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Stochastic differential equations and applications

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The object of this book is to develop the theory of systems of stochastic differential equations and then give applications in probability, partial differential equations and stochastic control problems. In Volume 1 we develop the basic theory of stochastic differential equations and give a few selected topics. Volume 2 will be devoted entirely to applications.

Author(s): Avner Friedman
Series: Probability and mathematical statistics series 28
Publisher: Academic Press
Year: 1975

Language: English
Pages: 243
City: New York
Tags: Математика;Теория вероятностей и математическая статистика;Теория случайных процессов;