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  • af Kai L. Chung & Zhongxin Zhao
    1.127,95 kr.

  • af Kai L. Chung
    830,95 kr.

    This is a substantial expansion of the first edition. The last chapter on stochastic differential equations is entirely new, as is the longish section 9.4 on the Cameron-Martin-Girsanov formula. Illustrative examples in Chapter 10 include the warhorses attached to the names of L. S. Ornstein, Uhlenbeck and Bessel, but also a novelty named after Black and Scholes. The Feynman-Kac-Schrooinger development (6.4) and the material on re- flected Brownian motions (8.5) have been updated. Needless to say, there are scattered over the text minor improvements and corrections to the first edition. A Russian translation of the latter, without changes, appeared in 1987. Stochastic integration has grown in both theoretical and applicable importance in the last decade, to the extent that this new tool is now sometimes employed without heed to its rigorous requirements. This is no more surprising than the way mathematical analysis was used historically. We hope this modest introduction to the theory and application of this new field may serve as a text at the beginning graduate level, much as certain standard texts in analysis do for the deterministic counterpart. No monograph is worthy of the name of a true textbook without exercises. We have compiled a collection of these, culled from our experiences in teaching such a course at Stanford University and the University of California at San Diego, respectively. We should like to hear from readers who can supply VI PREFACE more and better exercises.

  • af Kai L. Chung & Zhongxin Zhao
    1.137,95 kr.

    Die Theorie der Brown'schen Bewegung hat sich in letzter Zeit zu einem sehr wichtigen Werkzeug bei der Losung von Problemen in der mathematischen Physik entwickelt. In der vorliegenden, in sich abgeschlossenen und sehr gut lesbaren Abhandlung haben die zwei auf diesem Gebiet fuhrenden Autoren besonderen Wert auf Klarheit der Ausfuhrung gelegt.