Introduction to Stochastic Analysis

Name: Introduction to Stochastic Analysis
Brand: ISTE Ltd and John Wiley & Sons Inc
SKU: 9781848213111
Price: 170.54 EUR
Availability: InStock

Integrals and Differential Equations

Автор: Vigirdas Mackevicius

Език:

Корици: С твърди корици

Издател: ISTE Ltd and John Wiley & Sons Inc

Наличност: Външен склад в ограничено количество

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170.54 € 333.54 лв

This is an introduction to stochastic integration and stochastic differential equations written in a...

Информация за книгата

Автор

Vigirdas Mackevicius

Език

Английски език

Корици

Книга - С твърди корици

Издадена

2011

страници

276

EAN

9781848213111

ISBN

1848213115

Enbook ID

05103631

Издател

ISTE Ltd and John Wiley & Sons Inc

Теглоt

550

Размери

154 x 241 x 21

Пълно описание

This is an introduction to stochastic integration and stochastic differential equations written in an understandable way for a wide audience, from students of mathematics to practitioners in biology, chemistry, physics, and finances. The presentation is based on the naive stochastic integration, rather than on abstract theories of measure and stochastic processes. The proofs are rather simple for practitioners and, at the same time, rather rigorous for mathematicians. Detailed application examples in natural sciences and finance are presented. Much attention is paid to simulation diffusion processes. The topics covered include Brownian motion; motivation of stochastic models with Brownian motion; Ito and Stratonovich stochastic integrals, Ito's formula; stochastic differential equations (SDEs); solutions of SDEs as Markov processes; application examples in physical sciences and finance; simulation of solutions of SDEs (strong and weak approximations). Exercises with hints and/or solutions are also provided.

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Introduction to Stochastic Analysis

Integrals and Differential Equations

Информация за книгата

Пълно описание

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