隨機微分方程（第6版） epub pdf mobi txt 電子書 下載 2024

隨機微分方程（第6版） epub pdf mobi txt 電子書 下載 2024

☆☆☆☆☆
簡體網頁||繁體網頁



點擊這裡下載

隨機微分方程（第6版） epub pdf mobi txt 電子書 下載 2024

类似图書 點擊查看全場最低價

---

編輯推薦

　　《隨機微分方程》(第6版)為全英文版，適閤數學專業研究生閱讀參考。

內容簡介

　　隨機微分方程在數學以外的許多領域有著廣泛的應用，它對數學領域中的許多分支起著有效的聯結作用。本書是《Universitext》叢書之一，是一部理想的研究生教材。我們曾影印齣版瞭第2版和第4版，第6版與第4版相比，內容做瞭較大的修改和補充，增加瞭90頁的篇幅(近1／3內容)，包括鞅錶示論、變分不等式和隨機控製等內容，書後附有部分習題解答和提示。

目錄

Introduction
1.1 Stochastic Analogs of Classical Differential Equations
1.2 Filtering Problems
1.3 Stochastic Approach to Deterministic Boundary Value Problems
1.4 Optimal Stopping
1.5 Stochastic Control
1.6 Mathematical Finance
Some Mathematical Preliminaries
2.1 Probability Spaces， Random Variables and Stochastic Processes
2.2 An Important Example： Brownian Motion
Exercises
Ito Integrals
3.1 Construction of the It5 Integral
3.2 Some properties of the It5 integral
3.3 Extensions of the Ito integral
Exercises
The Ito Formula and the Martingale Representation
Theorem
4.1 The 1-dimensional It5 formula
4.2 The Multi-dimensional It5 Formula
4.3 The Martingale Representation Theorem
Exercises
Stochastic Differential Equations
5.1 Examples and Some Solution Methods
5.2 An Existence and Uniqueness Result
5.3 Weak and Strong Solutions
Exercises
6 The Filtering Problem
6.1 Introduction
6.2 The 1-Dimensional Linear Filtering Problem
6.3 The Multidimensional Linear Filtering Problem
Exercises
7 Diffusions： Basic Properties
7.1 The Markov Property
7.2 The Strong Markov Property
7.3 The Generator of an It5 Diffusion
7.4 The Dynkin Formula
7.5 The Characteristic Operator
Exercises
8 Other Topics in Diffusion Theory
8.1 Kolmogorovs Backward Equation. The Resolvent
8.2 The Feynman-Kac Formula. Killing
8.3 The Martingale Problem
8.4 When is an It5 Process a Diffusion?
8.5 Random Time Change
8.6 The Girsanov Theorem
Exercises
9 Applications to Boundary Value Problems
9.1 The Combined Dirichlet-Poisson Problem. Uniqueness
9.2 The Dirichlet Problem. Regular Points
9.3 The Poisson Problem
Exercises
10 Application to Optimal Stopping
10.1 The Time-Homogeneous Case
10.2 The Time-Inhomogeneous Case
10.3 Optimal Stopping Problems Involving an Integral
10.4 Connection with Variational Inequalities
Exercises
11 Application to Stochastic Control
11.1 Statement of the Problem
11.2 The Ha.milton-Jacobi-Bellman Equation
11.3 Stochastic control problems with terminal conditions
Exercises
12 Application to Mathematical Finance
12.1 Market， portfolio and arbitrage
12.2 Attainability and Completeness
12.3 Option Pricing
Exercises
Appendix A： Normal Random Variables
Appendix B： Conditional Expectation
Appendix C： Uniform Integrability and Martingale
Convergence
Appendix D： An Approximation Result
Solutions and Additional Hints to Some of the Exercises..
References
List of Frequently Used Notation and Symbols
Index

前言/序言

隨機微分方程（第6版） epub pdf mobi txt 電子書 下載 2024

隨機微分方程（第6版） 下載 epub mobi pdf txt 電子書

評分☆☆☆☆☆

好好好好好好好好好好好好好好好好好好好好好好好好好好好好好好好好

評分☆☆☆☆☆

書不錯啊，推薦給大傢

評分☆☆☆☆☆

書不錯，挺好的，我很滿意。

評分☆☆☆☆☆

挺好的

評分☆☆☆☆☆

一般而言，隨機微分方程的解是一隨機過程函數，但解方程需要先定義隨機過程函數的微分。最常見的定義為根據伊藤清所創，假設B為布朗運動，則對於某函數H，作以下定積分之定義：

評分☆☆☆☆☆

商品名稱： 兩輪自平衡機器人的研究與設計

評分☆☆☆☆☆

需要不低的數學水平纔能真正理解

評分☆☆☆☆☆

活動買的，價格比較閤適

評分☆☆☆☆☆

經典書籍！

类似图書 點擊查看全場最低價