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Introduction to Stochastic Analysis - Integrals and Differential Equations (Hardcover) Loot Price: R1,270 Discovery Miles 12 700 You Save: R523 (29%)
Introduction to Stochastic Analysis - Integrals and Differential Equations (Hardcover): Vigirdas Mackevicius
Introduction to Stochastic Analysis - Integrals and Differential Equations (Hardcover): Vigirdas Mackevicius

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Introduction to Stochastic Analysis - Integrals and Differential Equations (Hardcover)

Vigirdas Mackevicius

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List price R1,793 Loot Price R1,270 Discovery Miles 12 700 You Save R523 (29%)

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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.

General

Imprint: Iste Ltd And John Wiley & Sons Inc
Country of origin: United Kingdom
Release date: July 2011
First published: August 2011
Authors: Vigirdas Mackevicius
Dimensions: 232 x 161 x 20mm (L x W x T)
Format: Hardcover - Cloth over boards
Pages: 276
ISBN-13: 978-1-84821-311-1
Barcode: 9781848213111
Categories: Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics
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LSN: 1-84821-311-5

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