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Từ khóa:
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Stochastic differential equations ; Malliavin calculus
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Danh mục:
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Sách, Toán & Thống kê, Xác suất và Toán ứng dụng, ScienceDirect - Springer - Bookboon...
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Môn học:
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(02-TDHKT-TLTK) Tài liệu tham khảo, (06-KQTKD-TLTK) Tài liệu tham khảo, (07-TDHKHTN-TLTK) Tài liệu tham khảo, (10-TDHCN-TLTK) Tài liệu tham khảo, (11-KQT-TLTK) Tài liệu tham khảo, (E-journals) ScienceDirect - Springer - Bookboon...
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Tóm tắt theo nội dung:
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This book provides a comprehensive and unified introduction to stochastic differential equations and related optimal control problems. The material is new and the presentation is reader-friendly. A major contribution of the book is the development of generalized Malliavin calculus in the framework of white noise analysis, based on chaos expansion representation of stochastic processes and its application for solving several classes of stochastic differential equations with singular data involving
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