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Stochastic Differential Equations, Backward SDEs, Partial Differential Equations (Stochastic Modelling and Applied Probability, 69) by Etienne Pardoux, Aurel Rcanu, Aurel Rӑºcanu, Aurel Rӑşcanu is a nonfiction available to read on EtoBox.

What is Stochastic Differential Equations, Backward SDEs, Partial Differential Equations (Stochastic Modelling and Applied Probability, 69) about?

This Research Monograph Presents Results To Researchers In Stochastic Calculus, Forward And Backward Stochastic Differential Equations, Connections Between Diffusion Processes And Second Order Partial Differential Equations (pdes), And Financial Mathematics. It Pays Special Attention To The Relations Between Sdes/bsdes And Second Order Pdes Under Minimal Regularity Assumptions, And Also Extends Those Results To Equations With Multivalued Coefficients. The Authors Present In Particular The Theory Of Reflected Sdes In The Above Mentioned Framework And Include Exercises At The End Of Each Chapter. Stochastic Calculus And Stochastic Differential Equations (sdes) Were First Introduced By K. Itô In The 1940s, In Order To Construct The Path Of Diffusion Processes (which Are Continuous Time Markov Processes With Continuous Trajectories Taking Their Values In A Finite Dimensional Vector Space Or Manifold), Which Had Been Studied From A More Analytic Point Of View By Kolmogorov In The 1930s. Since Then, This Topic Has Become An Important Subject Of Mathematics And Applied Mathematics, Because Of Its Mathematical Richness And Its Importance For Applications In Many Areas Of Physics, Biology,

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Author

Etienne Pardoux, Aurel Rcanu, Aurel Rӑºcanu, Aurel Rӑşcanu

Publisher

Springer International Publishing : Imprint : Springer

Published

2014

Language

EN

ISBN

9783319057149

Category

nonfiction

Subjects

Mathematics, Stem