Name: Introduction to Stochastic Analysis: Integrals and Differential Equations
SKU: 7624318
Price: 5798.00 TWD
Availability: InStock
Author: Mackevicius, Vigirdas
ISBN: 9781848213111

portada Introduction to Stochastic Analysis: Integrals and Differential Equations

Introduction to Stochastic Analysis: Integrals and Differential Equations

Type

Physical Book

Author

Vigirdas Mackevicius

Publisher

Wiley-Iste

Year

2011

Language

English

Pages

288

Format

Hardcover

Dimensions

23.4x15.5x2 cm

Weight

0.54 kg.

ISBN

1848213115

ISBN13

9781848213111

Edition No.

Synopsis "Introduction to Stochastic Analysis: Integrals and Differential Equations"

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.

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Introduction to Stochastic Analysis: Integrals and Differential Equations - Mackevicius, Vigirdas

Synopsis "Introduction to Stochastic Analysis: Integrals and Differential Equations"

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