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 #  AuthorTitleAccn#YearItem Type Claims
1 Gopinath Kallianpur Stochastic filtering theory: Applications of Mathematics 026705 1980 Book  
2 Bernt Oksendal Stochastic differential equations: An Introduction with Applications 026706 2003 Book  
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TitleStochastic filtering theory: Applications of Mathematics
Author(s)Gopinath Kallianpur
PublicationNew York, Springer-Verlag, 1980.
Descriptionxvi, 316p.
Series(Applications of Mathematics)
Abstract NoteThis book is based on a seminar given at the University of California at Los Angeles in the Spring of 1975. The choice of topics reflects my interests at the time and the needs of the students taking the course. Initially the lectures were written up for publication in the Lecture Notes series. How­ ever, when I accepted Professor A. V. Balakrishnan's invitation to publish them in the Springer series on Applications of Mathematics it became necessary to alter the informal and often abridged style of the notes and to rewrite or expand much of the original manuscript so as to make the book as self-contained as possible. Even so, no attempt has been made to write a comprehensive treatise on filtering theory, and the book still follows the original plan of the lectures. While this book was in preparation, the two-volume English translation of the work by R. S. Liptser and A. N. Shiryaev has appeared in this series. The first volume and the present book have the same approach to the sub­ ject, viz. that of martingale theory. Liptser and Shiryaev go into greater detail in the discussion of statistical applications and also consider inter­ polation and extrapolation as well as filtering.
ISBN,Price9780387904450 : Eur 129.99(HB)
Classification519.21
Keyword(s)1. STOCHASTIC CALCULUS 2. STOCHASTIC EQUATION 3. STOCHASTIC FILTERING THEORY 4. STOCHASTIC PROCESSES
Item TypeBook

Circulation Data
Accession#  Call#StatusIssued ToReturn Due On Physical Location
026705   519.21/KAL/026705  On Shelf    

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TitleStochastic differential equations: An Introduction with Applications
Author(s)Bernt Oksendal
Edition6th ed.
PublicationHeidelberg, Springer, 2003.
Descriptionxxxi, 379p.
Series(Universitext)
Abstract NoteThis book provides an introduction to the theory of stochastic partial differential equations (SPDEs) of evolutionary type. SPDEs are one of the main research directions in probability theory with several wide ranging applications. Many types of dynamics with stochastic influence in nature or man-made complex systems can be modelled by such equations. The theory of SPDEs is based both on the theory of deterministic partial differential equations, as well as on modern stochastic analysis. Whilst this volume mainly follows the ‘variational approach’, it also contains a short account on the ‘semigroup (or mild solution) approach’. In particular, the volume contains a complete presentation of the main existence and uniqueness results in the case of locally monotone coefficients. Various types of generalized coercivity conditions are shown to guarantee non-explosion, but also a systematic approach to treat SPDEs with explosion in finite time is developed. It is, so far, the only book where the latter and the ‘locally monotone case’ is presented in a detailed and complete way for SPDEs. The extension to this more general framework for SPDEs, for example, in comparison to the well-known case of globally monotone coefficients, substantially widens the applicability of the results.
ISBN,Price9783540047582 : Eur 51.99(PB)
Classification519.21
Keyword(s)1. DIFFUSION THEORY 2. MATHEMATICAL FINANCE 3. STOCHASTIC CALCULUS 4. STOCHASTIC DIFFERENTIAL EQUATIONS
Item TypeBook

Circulation Data
Accession#  Call#StatusIssued ToReturn Due On Physical Location
026706   519.21/OKS/026706  On Shelf    

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