Artículos relacionados a Introduction to Stochastic Analysis: Integrals and...

Introduction to Stochastic Analysis: Integrals and Differential Equations (Applied Stochastic Methods) - Tapa dura

Mackevicius, Vigirdas

 
9781848213111: Introduction to Stochastic Analysis: Integrals and Differential Equations (Applied Stochastic Methods)
Tapa dura
ISBN 10: 1848213115 ISBN 13: 9781848213111
Editorial: ISTE Ltd and John Wiley & Sons Inc, 2011

Sinopsis

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 naïve 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; Itô and Stratonovich stochastic integrals, Itô’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.

"Sinopsis" puede pertenecer a otra edición de este libro.

Acerca del autor

Vigirdas Mackevicius is Professor of the Department of Mathematical Analysis in the Faculty of Mathematics of Vilnius University in Lithuania. His research interests include stochastic analysis, limit theorems for stochastic processes, and stochastic numerics.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
ISTE Ltd and John Wiley & Sons Inc
Año de publicación
2011
Idioma
Inglés
ISBN 10 
1848213115
ISBN 13 
9781848213111
Encuadernación
Tapa dura
Número de páginas
288
Contacto del fabricante
no disponible
Persona responsable
no disponible