Introduction to Stochastic Analysis

Name: Introduction to Stochastic Analysis
Brand: ISTE Ltd and John Wiley & Sons Inc
SKU: 9781848213111
Price: 695.39 PLN
Availability: InStock

Integrals and Differential Equations

Autor: Vigirdas Mackevicius

Język:

Oprawa: Twarda

Wydawca: ISTE Ltd and John Wiley & Sons Inc

Dostępność: Dostępna u dostawcy w małych ilościach

Wysyłamy za 11-15 dni

695.39 zł

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

Informacje o książce

Autor

Vigirdas Mackevicius

Język

Angielski

Oprawa

Książka - Twarda

Data wydania

2011

strony

276

EAN

9781848213111

ISBN

1848213115

Enbook ID

05103631

Wydawca

ISTE Ltd and John Wiley & Sons Inc

Waga

550

Wymiary

154 x 241 x 21

Pełny opis

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

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