随机微分方程（第6版） pdf epub mobi txt 电子书 下载 2025

简体网页||繁体网页

☆☆☆☆☆

BerntφKsendal 著

图书标签:

• 随机过程
• 随机微分方程
• 概率论
• 斯托卡斯蒂克分析
• 金融数学
• 偏微分方程
• 数值方法
• 伊藤积分
• 布朗运动
• 鞅理论

出版社： 世界图书出版公司

ISBN：9787506273084

版次：1

商品编码：10096096

包装：平装

开本：24开

出版时间：2006-05-01

用纸：胶版纸

页数：365

编辑推荐

　　《随机微分方程》(第6版)为全英文版，适合数学专业研究生阅读参考。

内容简介

　　随机微分方程在数学以外的许多领域有着广泛的应用，它对数学领域中的许多分支起着有效的联结作用。本书是《Universitext》丛书之一，是一部理想的研究生教材。我们曾影印出版了第2版和第4版，第6版与第4版相比，内容做了较大的修改和补充，增加了90页的篇幅(近1／3内容)，包括鞅表示论、变分不等式和随机控制等内容，书后附有部分习题解答和提示。

目录

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

评分☆☆☆☆☆

好有用

评分☆☆☆☆☆

买了很久拆开发现使用过啊，封面有折痕，侧边一处黑色很脏。

评分☆☆☆☆☆

商品名称： 两轮自平衡机器人的研究与设计

评分☆☆☆☆☆

买下了为下学期做准备

评分☆☆☆☆☆

书很好，慢慢看

评分☆☆☆☆☆

不错, 很经典的书, 值得读.

评分☆☆☆☆☆

价优质好我喜欢 以后还会买

评分☆☆☆☆☆

很经典的一本随机分析的书

评分☆☆☆☆☆

东西不错，快递也很给力！