Theory of Stochastic Differential Equations with Jumps and Applications Mathematical and Analytical Techniques with Applications to Engineering /

• Main Author: Situ, Rong (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Boston, MA : Springer US, 2005.
• Subjects: Engineering.; Mathematical analysis.; Analysis (Mathematics).; Applied mathematics.; Engineering mathematics.; Probabilities.; Physics.; Fluid mechanics.; Appl.Mathematics/Computational Methods of Engineering.; Analysis.; Probability Theory and Stochastic Processes.; Applications of Mathematics.; Theoretical, Mathematical and Computational Physics.; Engineering Fluid Dynamics.

This book is written for people who are interested in stochastic differential equations (SDEs) and their applications. It shows how to introduce and define the Ito integrals, to establish Ito’s differential rule (the so-called Ito formula), to solve the SDEs, and to establish Girsanov’s theorem and...