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Stochastic Differential Equations and Applicationsby Xuerong Mao
Synopses & Reviews
This advanced undergraduate and graduate text has now been revised and updated to cover the basic principles and applications of various types of stochastic systems, with much on theory and applications not previously available in book form. The text is also useful as a reference source for pure and applied mathematicians, statisticians and probabilists, engineers in control and communications, and information scientists, physicists and economists.
Book News Annotation:
Mao (statistics and modeling science, U. of Strathclyde) has thoroughly revised this advanced undergraduate and graduate text, in part to describe several popular stochastic models and applications in population systems and finance. He covers generalized Gronwall inequality and Bihari inequality, Brownian motions and stochastic intervals, analysis of Ito and Feynman-Kac formulas, the Ruzumikhin technique of the Lyapunov method, approximate solutions to stochastic differential equations according to Cauchy-Marayama and Carathedory methods. Appropriate for pure and applied mathematicians, statisticians, engineers in control and communications, information scientists, physicists and economists. Previously published under title Stochastic Differential Equations and their Applications in 1997. Distributed by ISBS. Annotation ©2009 Book News, Inc., Portland, OR (booknews.com)
About the Author
Professor Xuerong Mao, FRSE, is the head of the Department of Mathematics and Statistics at Strathclyde University in Scotland, UK.
Table of Contents
Brownian motion and stochastic integrals; Stochastic differential equations; Linear stochastic differential equations; Stability of stochastic differential equations; Stochastic functional differential equations; Stochastic equations of neutral type; Backward stochastic differential equations; Stochastic oscillators; Applications to economics and finance; Stochastic neural networks; Stochastic delay population systems; Notes, references and index.
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Science and Mathematics » Mathematics » Probability and Statistics » General
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