An intoduction to stochastic differential equations (Record no. 1621)

000 -LEADER
fixed length control field 01825nam a2200205Ia 4500
003 - CONTROL NUMBER IDENTIFIER
control field OSt
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20241113161033.0
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 180205s9999 xx 000 0 und d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 978-1-4704-1054-4
040 ## - CATALOGING SOURCE
Original cataloging agency ICTS-TIFR
050 ## - LIBRARY OF CONGRESS CALL NUMBER
Classification number QA274.23
100 ## - MAIN ENTRY--PERSONAL NAME
Personal name Lawrence C. Evans
245 ## - TITLE STATEMENT
Title An intoduction to stochastic differential equations
260 ## - PUBLICATION, DISTRIBUTION, ETC.
Name of publisher, distributor, etc. American Mathematical Society,
Date of publication, distribution, etc. [c2017]
Place of publication, distribution, etc. Rhode Island:
300 ## - Physical Description
Pages: 151 p.
505 ## - FORMATTED CONTENTS NOTE
Formatted contents note 1. Introduction<br/>2. A crash course in probability theory<br/>3. Brownian motion and "white noise"<br/>4. Stochastic integrals<br/>5. Stochastic differential equations<br/>6. Applications
520 ## - SUMMARY, ETC.
Summary, etc. This short book 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 concise and strongly focused upon the interplay between probabilistic intuition and mathematical rigor. Topics include a quick survey of measure theoretic probability theory, followed by an introduction to Brownian motion and the Itô stochastic calculus, and finally the theory of stochastic differential equations. The text also includes applications to partial differential equations, optimal stopping problems and options pricing. This book can be used as a text for senior undergraduates or beginning graduate students in mathematics, applied mathematics, physics, financial mathematics, etc., who want to learn the basics of stochastic differential equations. The reader is assumed to be fairly familiar with measure theoretic mathematical analysis, but is not assumed to have any particular knowledge of probability theory (which is rapidly developed in Chapter 2 of the book)."-- Provided by publisher
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Mathematics
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Source of classification or shelving scheme
Koha item type Book
Holdings
Withdrawn status Lost status Damaged status Not for loan Collection code Home library Shelving location Date acquired Full call number Accession No. Koha item type
          ICTS Rack No 5 01/18/2018 QA274.23 00880 Book