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Author  Title  Accn#  Year  Item Type  Claims 
1 
Bernt Oksendal 
Stochastic differential equations: An Introduction with Applications 
026706 
2003 
Book 


1.
 
Title  Stochastic differential equations: An Introduction with Applications 
Author(s)  Bernt Oksendal 
Edition  6th ed. 
Publication  Heidelberg, Springer, 2003. 
Description  xxxi, 379p. 
Series  (Universitext) 
Abstract Note  This 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 manmade 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 nonexplosion, 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 wellknown case of globally monotone coefficients, substantially widens the applicability of the results. 
ISBN,Price  9783540047582 : Eur 51.99(PB) 
Classification  519.21

Keyword(s)  1. DIFFUSION THEORY
2. MATHEMATICAL FINANCE
3. STOCHASTIC CALCULUS
4. STOCHASTIC DIFFERENTIAL EQUATIONS

Item Type  Book 
Circulation Data
Accession#  
Call#  Status  Issued To  Return Due On  Physical Location 
026706 

519.21/OKS/026706 
On Shelf 



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