Theory and applications of stochastic differential equations

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Wiley, 1980 - Mathematics - 321 pages
Presents theory, sources, and applications of stochastic differential equations of Ito's type; those containing white noise. Closely studies first passage problems by modern singular perturbation methods and their role in various fields of science. Introduces analytical methods to obtain information on probabilistic quantities. Demonstrates the role of partial differential equations in this context. Clarifies the relationship between the complex mathematical theories involved and sources of the problem for physicists, chemists, engineers, and other non-mathematical specialists.

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Review of Probability Theory
The Brownian Motion
The Stochastic ltd Calculus

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