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[统计套利] Stochastic Differential Equations in Infinite Dimensions: with Applications to S [推广有奖]

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The systematic study of existence, uniqueness, and properties of solutions to stochastic differential equations in infinite dimensions arising from practical problems characterizes this volume that is intended for graduate students and for pure and applied mathematicians, physicists, engineers, professionals working with mathematical models of finance. Major methods include compactness, coercivity, monotonicity, in a variety of set-ups. The authors emphasize the fundamental work of Gikhman and Skorokhod on the existence and uniqueness of solutions to stochastic differential equations and present its extension to infinite dimension. They also generalize the work of Khasminskii on stability and stationary distributions of solutions. New results, applications, and examples of stochastic partial differential equations are included. This clear and detailed presentation gives the basics of the infinite dimensional version of the classic books of Gikhman and Skorokhod and of Khasminskii in one concise volume that covers the main topics in infinite dimensional stochastic PDE’s. By appropriate selection of material, the volume can be adapted for a 1- or 2-semester course, and can prepare the reader for research in this rapidly expanding area.


Editorial ReviewsReviewFrom the reviews:
“The text is complete, accurate and a very clear introduction to the topic. … the book is a very nice and clear introduction to major methods in the study of infinite-dimensional stochastic differential equations. The book is not only appropriate for teaching purposes (it is designed for graduate students but due to its clear approach it can probably be used in undergraduate classes as well), but also a robust reference work for pure and applied mathematicians.” (Giorgio Fabbri, Mathematical Reviews, Issue 2012 a)


From the Back CoverThe systematic study of existence, uniqueness, and properties of solutions to stochastic differential equations in infinite dimensions arising from practical problems characterizes this volume that is intended for graduate students and for pure and applied mathematicians, physicists, engineers, professionals working with mathematical models of finance. Major methods include compactness, coercivity, monotonicity, in a variety of set-ups. The authors emphasize the fundamental work of Gikhman and Skorokhod on the existence and uniqueness of solutions to stochastic differential equations and present its extension to infinite dimension. They also generalize the work of Khasminskii on stability and stationary distributions of solutions. New results, applications, and examples of stochastic partial differential equations are included. This clear and detailed presentation gives the basics of the infinite dimensional version of the classic books of Gikhman and Skorokhod and of Khasminskii in one concise volume that covers the main topics in infinite dimensional stochastic PDE’s. By appropriate selection of material, the volume can be adapted for a 1- or 2-semester course, and can prepare the reader for research in this rapidly expanding area.

Product Details
  • Series: Probability and Its Applications
  • Hardcover: 291 pages
  • Publisher: Springer; 2011 edition (December 10, 2010)
  • Language: English
  • ISBN-10: 3642161936
  • ISBN-13: 978-3642161933


Stochastic Differential Equations in Infinite Dimensions with Applications to St.pdf (1.56 MB, 需要: 8 个论坛币)






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关键词:Differential Applications Application Stochastic Dimensions Infinite

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seahhj 发表于 2015-7-21 16:41:41 |显示全部楼层 |坛友微信交流群
very good book!

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三江鸿 发表于 2023-1-18 10:47:04 来自手机 |显示全部楼层 |坛友微信交流群
点个赞感谢分享

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