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An introduction to stochastic differential equations with reflection

Produktform: Buch / Einband - flex.(Paperback)

These lecture notes are intended as a short introduction to diffusion processes on a domain with a reflecting boundary for graduate students, researchers in stochastic analysis and interested readers. Specific results on stochastic differential equations with reflecting boundaries such as existence and uniqueness, continuity and Markov properties, relation to partial differential equations and submartingale problems are given. An extensive list of references to current literature is included. This book has its origins in a mini-course the author gave at the University of Potsdam and at the Technical University of Berlin in Winter 2013.weiterlesen

Dieser Artikel gehört zu den folgenden Serien

Sprache(n): Englisch

ISBN: 978-3-86956-297-1 / 978-3869562971 / 9783869562971

Verlag: Universitätsverlag Potsdam

Erscheinungsdatum: 13.10.2014

Seiten: 75

Autor(en): Andrey Pilipenko

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