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Discretization of Processes
In applications, and especially in mathematical finance, random time-dependent events are often modeled as stochastic processes. Assumptions are made about the structure of such …
Stochastic Integration and Differential Equations
It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts on the same subject …
Stochastic Integration and Differential Equations
The idea of this book began with an invitation to give a course at the Third Chilean Winter School in Probability and Statistics, at Santiago de Chile, in July, 1984. Faced with …
Probabilistic Models for Nonlinear Partial Differential Equations
The lecture courses of the CIME Summer School on Probabilistic Models for Nonlinear PDE's and their Numerical Applications (April 1995) had a three-fold emphasis: first, on the …
Probability Essentials
We have made small changes throughout the book, including the exercises, and we have tried to correct if not all, then at least most of the typos. We wish to thank the many …