Introduction to Stochastic Analysis: Integrals and Differential Equations ePub (Adobe DRM) download by Vigirdas Mackevicius

Introduction to Stochastic Analysis: Integrals and Differential Equations

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Wiley-ISTE
Publication date: February 2013
ISBN: 9781118603246
Digital Book format: ePub (Adobe DRM)

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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 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 ePub (Adobe DRM) download by Vigirdas Mackevicius
Wiley-ISTE, February 2013
ISBN: 9781118603246
EAN:  9781118603246
ePub (Adobe DRM)
eBook price: $79.99
Introduction to Stochastic Analysis: Integrals and Differential Equations PDF (Adobe DRM) download by Vigirdas Mackevicius
Wiley-ISTE, February 2013
ISBN: 9781118603314
EAN:  9781118603314
PDF (Adobe DRM)
eBook price: $79.99