隨機微分方程（第6版） pdf epub mobi txt 電子書 下載 2025

簡體網頁||繁體網頁

☆☆☆☆☆

BerntφKsendal 著

齣版社： 世界圖書齣版公司

ISBN：9787506273084

版次：1

商品編碼：10096096

包裝：平裝

開本：24開

齣版時間：2006-05-01

用紙：膠版紙

頁數：365

編輯推薦

　　《隨機微分方程》(第6版)為全英文版，適閤數學專業研究生閱讀參考。

內容簡介

　　隨機微分方程在數學以外的許多領域有著廣泛的應用，它對數學領域中的許多分支起著有效的聯結作用。本書是《Universitext》叢書之一，是一部理想的研究生教材。我們曾影印齣版瞭第2版和第4版，第6版與第4版相比，內容做瞭較大的修改和補充，增加瞭90頁的篇幅(近1／3內容)，包括鞅錶示論、變分不等式和隨機控製等內容，書後附有部分習題解答和提示。

目錄

Introduction
1.1 Stochastic Analogs of Classical Differential Equations
1.2 Filtering Problems
1.3 Stochastic Approach to Deterministic Boundary Value Problems
1.4 Optimal Stopping
1.5 Stochastic Control
1.6 Mathematical Finance
Some Mathematical Preliminaries
2.1 Probability Spaces， Random Variables and Stochastic Processes
2.2 An Important Example： Brownian Motion
Exercises
Ito Integrals
3.1 Construction of the It5 Integral
3.2 Some properties of the It5 integral
3.3 Extensions of the Ito integral
Exercises
The Ito Formula and the Martingale Representation
Theorem
4.1 The 1-dimensional It5 formula
4.2 The Multi-dimensional It5 Formula
4.3 The Martingale Representation Theorem
Exercises
Stochastic Differential Equations
5.1 Examples and Some Solution Methods
5.2 An Existence and Uniqueness Result
5.3 Weak and Strong Solutions
Exercises
6 The Filtering Problem
6.1 Introduction
6.2 The 1-Dimensional Linear Filtering Problem
6.3 The Multidimensional Linear Filtering Problem
Exercises
7 Diffusions： Basic Properties
7.1 The Markov Property
7.2 The Strong Markov Property
7.3 The Generator of an It5 Diffusion
7.4 The Dynkin Formula
7.5 The Characteristic Operator
Exercises
8 Other Topics in Diffusion Theory
8.1 Kolmogorovs Backward Equation. The Resolvent
8.2 The Feynman-Kac Formula. Killing
8.3 The Martingale Problem
8.4 When is an It5 Process a Diffusion?
8.5 Random Time Change
8.6 The Girsanov Theorem
Exercises
9 Applications to Boundary Value Problems
9.1 The Combined Dirichlet-Poisson Problem. Uniqueness
9.2 The Dirichlet Problem. Regular Points
9.3 The Poisson Problem
Exercises
10 Application to Optimal Stopping
10.1 The Time-Homogeneous Case
10.2 The Time-Inhomogeneous Case
10.3 Optimal Stopping Problems Involving an Integral
10.4 Connection with Variational Inequalities
Exercises
11 Application to Stochastic Control
11.1 Statement of the Problem
11.2 The Ha.milton-Jacobi-Bellman Equation
11.3 Stochastic control problems with terminal conditions
Exercises
12 Application to Mathematical Finance
12.1 Market， portfolio and arbitrage
12.2 Attainability and Completeness
12.3 Option Pricing
Exercises
Appendix A： Normal Random Variables
Appendix B： Conditional Expectation
Appendix C： Uniform Integrability and Martingale
Convergence
Appendix D： An Approximation Result
Solutions and Additional Hints to Some of the Exercises..
References
List of Frequently Used Notation and Symbols
Index

前言/序言

評分☆☆☆☆☆

真的還可以，大神們的書，電子版看得纍人。z

評分☆☆☆☆☆

還是難懂，不過質量不錯感覺有點精裝版的意思

評分☆☆☆☆☆

包裝不錯

評分☆☆☆☆☆

評分☆☆☆☆☆

隨機微積分是隨機過程中所必備的知識，這一本書也是這個領域的經典之作瞭，因為學校沒有開這門課，想看這個的話隻能去靠自學，有點麻煩，但是學完的話收獲也是很大的，再也不怕什麼衍生品啦~！~就是不知道能不能申到好的金工項目。

評分☆☆☆☆☆

哈哈哈哈哈哈哈哈哈哈哈哈

評分☆☆☆☆☆

概括比較全麵，是瞭解隨機微分方程的一本好書

評分☆☆☆☆☆

封麵有破損，其他的沒啥問題

評分☆☆☆☆☆

進階隨機的必備用書，金融工程推薦