Asymptotic Methods in the Theory of Stochastic Differential...

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Asymptotic Methods in the Theory of Stochastic Differential Equations

Name: Asymptotic Methods in the Theory of Stochastic Differential Equations
ISBN: 9780821845318

A. V. Skorokhod

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Written by one of the foremost Soviet experts in the field, this book is intended for specialists in the theory of random processes and its applications. The author's 1982 monograph on stochastic differential equations, written with Iosif Il'ich Gikhman, did not include a number of topics important to applications. The present work begins to fill this gap by investigating the asymptotic behavior of stochastic differential equations. The main topics are ergodic theory for Markov processes and for solutions of stochastic differential equations, stochastic differential equations containing a small parameter, and stability theory for solutions of systems of stochastic differential equations.

Categorie:

Mathematics

Anno:

1989

Casa editrice:

Amer Mathematical Society

Lingua:

english

Pagine:

360

ISBN 10:

0821845314