Téléchargez le livre : Modeling with Itô Stochastic Differential Equations

Modeling with Itô Stochastic Differential Equations



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Éditeur :

Springer


Collection :

Mathematical Modelling: Theory and Applications

Paru le : 2007-03-08



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Description
Dynamical systems with random influences occur throughout the physical, biological, and social sciences. By carefully studying a randomly varying system over a small time interval, a discrete stochastic process model can be constructed. Next, letting the time interval shrink to zero, an Ito stochastic differential equation model for the dynamical system is obtained. This modeling procedure is thoroughly explained and illustrated for randomly varying systems in population biology, chemistry, physics, engineering, and finance. Introductory chapters present the fundamental concepts of random variables, stochastic processes, stochastic integration, and stochastic differential equations. These concepts are explained in a Hilbert space setting which unifies and simplifies the presentation. Computer programs, given throughout the text, are useful in solving representative stochastic problems. Analytical and computational exercises are provided in each chapter that complement the material in the text. Modeling with Itô Stochastic Differential Equations is useful for researchers and graduate students. As a textbook for a graduate course, prerequisites include probability theory, differential equations, intermediate analysis, and some knowledge of scientific programming.
Pages
230 pages
Collection
Mathematical Modelling: Theory and Applications
Parution
2007-03-08
Marque
Springer
EAN papier
9781402059520
EAN PDF
9781402059537
Informations sur l'ebook
Nombre pages copiables
2
Nombre pages imprimables
23
Taille du fichier
1464 Ko
Ce livre est accessible aux handicaps Voir les informations sur l'accessibilité
Prix
94,94 €

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