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Stochastic differential equations

Most popular at the top

  • Theory of Stochastic Differential Equations with Jumps and Applicationsby Rong Situ

    Springer 2005; US$ 185.00

    Stochastic differential equations (SDEs) are a powerful tool in science, mathematics, economics and finance. This book will help the reader to master the basic theory and learn some applications of SDEs. In particular, the reader will be provided with the backward SDE technique for use in research when considering financial problems in the market, and with the reflecting SDE technique to enable study of optimal stochastic population control problems. These two techniques are powerful and efficient, and can also be applied to research in many other problems in nature, science and elsewhere. more...

  • Stability of Infinite Dimensional Stochastic Differential Equations with Applicationsby Kai Liu

    CRC Press 2005; US$ 94.95

    Liu (mathematics, University of Liverpool, UK) offers a systematic presentation of the modern theory of the stability of stochastic differential equations in infinite dimensional spaces, particularly Hilbert spaces. The treatment includes a review of basic concepts and investigation of the stability theory of linear and nonlinear stochastic differe more...

  • The Langevin and Generalised Langevin Approach to the Dynamics of Atomic, Polymeric and Colloidal Systemsby Ian Snook

    Elsevier 2007; US$ 135.00

    The Langevin and Generalised Langevin Approach To The Dynamics Of Atomic, Polymeric And Colloidal Systems is concerned with the description of aspects of the theory and use of so-called random processes to describe the properties of atomic, polymeric and colloidal systems in terms of the dynamics of the particles in the system. It provides derivations of the basic equations, the development of numerical schemes to solve them on computers and gives illustrations of application to typical systems. Extensive appendices are given to enable the reader to carry out computations to illustrate many of the points made in the main body of the book. * Starts from fundamental equations * Gives up-to-date illustration of the application of these techniques... more...

  • An Introduction To The Geometry Of Stochastic Flowsby Fabrice Baudoin

    World Scientific 2004; US$ 49.00

    This book aims to provide a self-contained introduction to the local geometry of the stochastic flows. It studies the hypoelliptic operators, which are written in Hörmander?s form, by using the connection between stochastic flows and partial differential equations. The book stresses the author?s view that the local geometry of any stochastic flow is determined very precisely and explicitly by a universal formula referred to as the Chen-Strichartz formula. The natural geometry associated with the Chen-Strichartz formula is the sub-Riemannian geometry, and its main tools are introduced throughout the text. more...

  • The Noisy Oscillatorby Moshe Gitterman

    World Scientific 2005; US$ 55.00

    Stochastic Processes; Fluctuation Phenomena; Classical Statistical Mechanics; Oscillator; Brownian Motion; Stochastic Resonance; Multiplicative Noise more...

  • Physical Approach to Short-Term Wind Power Predictionby Matthias Lange; Ulrich Focken

    Springer-Verlag Berlin and Heidelberg GmbH & Co. KG 2006; US$ 169.00

    Offers an approach to the ultimate goal of the short-term prediction of the power output of winds farms. This book addresses scientists and engineers working in wind energy related R and D and industry, as well as graduate students and nonspecialists researchers in the fields of atmospheric physics and meteorology. more...

  • Stochastic Differential Equationsby Peter H Baxendale; Sergey V Lototsky

    World Scientific 2007; US$ 130.00

    This volume consists of 15 articles written by experts in stochastic analysis. The first paper in the volume, Stochastic Evolution Equations by N V Krylov and B L Rozovskii, was originally published in Russian in 1979. After more than a quarter-century, this paper remains a standard reference in the field of stochastic partial differential equations (SPDEs) and continues to attract the attention of mathematicians of all generations. Together with a short but thorough introduction to SPDEs, it presents a number of optimal, and essentially unimprovable, results about solvability for a large class of both linear and non-linear equations. The other papers in this volume were specially written for the occasion of Prof Rozovskii’s 60th birthday.... more...

  • Modeling with Itô Stochastic Differential Equationsby Edward Allen

    Springer 2007; US$ 129.00

    Dynamical systems with random influences occur throughout the physical, biological, and social sciences. By carefully studying a randomly varying system over a small time interval, a discrete stochastic process model can be constructed. Next, letting the time interval shrink to zero, an Ito stochastic differential equation model for the dynamical system is obtained. This modeling procedure is thoroughly explained and illustrated for randomly varying systems in population biology, chemistry, physics, engineering, and finance. Introductory chapters present the fundamental concepts of random variables, stochastic processes, stochastic integration, and stochastic differential equations. These concepts are explained in a Hilbert space setting which... more...

  • Stochastic Ordinary and Stochastic Partial Differential Equationsby Peter Kotelenez

    Springer 2008; US$ 79.95

    This book provides the first rigorous derivation of mesoscopic and macroscopic equations from a deterministic system of microscopic equations. The microscopic equations are cast in the form of a deterministic (Newtonian) system of coupled nonlinear oscillators for N large particles and infinitely many small particles. The mesoscopic equations are stochastic ordinary differential equations (SODEs) and stochastic partial differential equatuions (SPDEs), and the macroscopic limit is described by a parabolic partial differential equation. A detailed analysis of the SODEs and (quasi-linear) SPDEs is presented. Semi-linear (parabolic) SPDEs are represented as first order stochastic transport equations driven by Stratonovich differentials. The time... more...

  • Simulation and Inference for Stochastic Differential Equationsby Stefano M. Iacus

    Springer 2008; US$ 89.95

    Organized into four chapters, this book presents several classes of processes used in mathematics, computational biology, finance and the social sciences. Dealing with simulation schemes, it focuses on parametric estimation techniques. It also contains topics like nonparametric estimation, model identification and change point estimation. more...