Stochastic Differential Equations and Applications

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  • Edition: 2nd
  • Format: Paperback
  • Copyright: 2007-12-30
  • Publisher: Elsevier Science

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Supplemental Materials

What is included with this book?


This advanced undergraduate and graduate text has now been revised and updated to cover the basic principles and applications of various types of stochastic systems, with much on theory and applications not previously available in book form. The text is also useful as a reference source for pure and applied mathematicians, statisticians and probabilists, engineers in control and communications, and information scientists, physicists and economists.

Author Biography

Xuerong Mao is a Professor in the Department of Statistics and Modelling Science, University of Strathclyde, Glasgow.

Table of Contents

Brownian Motions and Stochastic Integralsp. 1
Stochastic Differential Equationsp. 47
Linear Stochastic Differential Equationsp. 91
Stability of Stochastic Differential Equationsp. 107
Stochastic Functional Differential Equationsp. 147
Stochastic Equations of Neutral Typep. 201
Backward Stochastic Differential Equationsp. 235
Stochastic Oscillatorsp. 271
Applications to Economics and Financep. 301
Stochastic Neural Networksp. 351
Stochastic Delay Population Systemsp. 377
Bibliographical Notesp. 409
Referencesp. 411
Indexp. 419
Table of Contents provided by Blackwell. All Rights Reserved.

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