Introduction to stochastic differential equations / Lawrence C. Evans.
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TextPublication details: Providence : AMS, c2013.Description: viii, 151 p. : illustrations ; 26 cmISBN: - 9781470410544 (alk. paper)
- 519.23 23 Ev92
| Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
|---|---|---|---|---|---|---|---|
| Books | ISI Library, Kolkata | 519.23 Ev92 (Browse shelf(Opens below)) | Available | 135457 |
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| 519.23 El52 stochastic analysis, path integration and dynamic | 519.23 En57 Road to randomness in physical systems | 519.23 En57 Road to randomness in physical systems | 519.23 Ev92 Introduction to stochastic differential equations / | 519.23 Ev93 Data assimilation | 519.23 F598 Counting processes and survival analysis | 519.23 F598 Counting processes and survival analysis |
Includes bibliographical references (pages 147-148) and index.
Chapter 1. Introduction--
Chapter 2. A crash course in probability theory--
Chapter 3. Brownian motion and "White Noise"--
Chapter 4. Stochastic Integrals--
Chapter 5. Stochastic differential equations--
Chapter 6. Applications--
Appendix--
Exercises--
Notes and suggested reading--
Bibliography--
Index.
Provides a quick, but very readable introduction to stochastic differential equations--that is, to differential equations subject to additive "white noise" and related random disturbances. The exposition is strongly focused upon the interplay between probabilistic intuition and mathematical rigour.
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