隨機微分方程（第6版） pdf epub mobi txt 電子書 下載 2025

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BerntφKsendal 著

齣版社： 世界圖書齣版公司

ISBN：9787506273084

版次：1

商品編碼：10096096

包裝：平裝

開本：24開

齣版時間：2006-05-01

用紙：膠版紙

頁數：365

編輯推薦

　　《隨機微分方程》(第6版)為全英文版，適閤數學專業研究生閱讀參考。

內容簡介

　　隨機微分方程在數學以外的許多領域有著廣泛的應用，它對數學領域中的許多分支起著有效的聯結作用。本書是《Universitext》叢書之一，是一部理想的研究生教材。我們曾影印齣版瞭第2版和第4版，第6版與第4版相比，內容做瞭較大的修改和補充，增加瞭90頁的篇幅(近1／3內容)，包括鞅錶示論、變分不等式和隨機控製等內容，書後附有部分習題解答和提示。

目錄

Introduction
1.1 Stochastic Analogs of Classical Differential Equations
1.2 Filtering Problems
1.3 Stochastic Approach to Deterministic Boundary Value Problems
1.4 Optimal Stopping
1.5 Stochastic Control
1.6 Mathematical Finance
Some Mathematical Preliminaries
2.1 Probability Spaces， Random Variables and Stochastic Processes
2.2 An Important Example： Brownian Motion
Exercises
Ito Integrals
3.1 Construction of the It5 Integral
3.2 Some properties of the It5 integral
3.3 Extensions of the Ito integral
Exercises
The Ito Formula and the Martingale Representation
Theorem
4.1 The 1-dimensional It5 formula
4.2 The Multi-dimensional It5 Formula
4.3 The Martingale Representation Theorem
Exercises
Stochastic Differential Equations
5.1 Examples and Some Solution Methods
5.2 An Existence and Uniqueness Result
5.3 Weak and Strong Solutions
Exercises
6 The Filtering Problem
6.1 Introduction
6.2 The 1-Dimensional Linear Filtering Problem
6.3 The Multidimensional Linear Filtering Problem
Exercises
7 Diffusions： Basic Properties
7.1 The Markov Property
7.2 The Strong Markov Property
7.3 The Generator of an It5 Diffusion
7.4 The Dynkin Formula
7.5 The Characteristic Operator
Exercises
8 Other Topics in Diffusion Theory
8.1 Kolmogorovs Backward Equation. The Resolvent
8.2 The Feynman-Kac Formula. Killing
8.3 The Martingale Problem
8.4 When is an It5 Process a Diffusion?
8.5 Random Time Change
8.6 The Girsanov Theorem
Exercises
9 Applications to Boundary Value Problems
9.1 The Combined Dirichlet-Poisson Problem. Uniqueness
9.2 The Dirichlet Problem. Regular Points
9.3 The Poisson Problem
Exercises
10 Application to Optimal Stopping
10.1 The Time-Homogeneous Case
10.2 The Time-Inhomogeneous Case
10.3 Optimal Stopping Problems Involving an Integral
10.4 Connection with Variational Inequalities
Exercises
11 Application to Stochastic Control
11.1 Statement of the Problem
11.2 The Ha.milton-Jacobi-Bellman Equation
11.3 Stochastic control problems with terminal conditions
Exercises
12 Application to Mathematical Finance
12.1 Market， portfolio and arbitrage
12.2 Attainability and Completeness
12.3 Option Pricing
Exercises
Appendix A： Normal Random Variables
Appendix B： Conditional Expectation
Appendix C： Uniform Integrability and Martingale
Convergence
Appendix D： An Approximation Result
Solutions and Additional Hints to Some of the Exercises..
References
List of Frequently Used Notation and Symbols
Index

前言/序言

評分☆☆☆☆☆

兒子要的我也不知道瞭，

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　　本書是為商學、經濟學、金融數學和金融工程的本科生所寫，對於相關的研究生可以作為提高其數量技能的參考書。同時也適閤作為衍生品市場的從業人員作為參考。本書對於從業者來說是一本“聖經”。對於高校學生來說，它是一本暢銷教材。第9版針對當前金融問題進行瞭更新和改寫，建立瞭實務和理論的橋梁，並且盡量少的采用數學知識，提供瞭大量業界事例，主要講述瞭期貨市場的運作機製、采用期貨的對衝策略、遠期及期貨價格的確定、期權市場的運作過程、雇員股票期權的性質、期權交易策略以及信用衍生産品、布萊剋斯科爾斯默頓模型、希臘值及其運用等。

評分☆☆☆☆☆

原版書影印版，值得學習

評分☆☆☆☆☆

書確實不錯，對於基礎較差的人難看懂

評分☆☆☆☆☆

概括比較全麵，是瞭解隨機微分方程的一本好書

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We have not succeeded in answering all our problems. The answers we have found only serve to raise a whole set of new questions In some ways we feel we are as confused as ever, but we believe we are confused on a higher level and about more important things.

評分☆☆☆☆☆

還是難懂，不過質量不錯感覺有點精裝版的意思

評分☆☆☆☆☆

很棒啊！字有點小而已

評分☆☆☆☆☆

不錯不湊不錯不錯不粗不錯不粗粗布哦