Téléchargez le livre : Introduction to Stochastic Analysis

Introduction to Stochastic Analysis

Integrals and Differential Equations de

Éditeur :

Wiley-ISTE


Paru le : 2013-02-07

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Description
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.
Pages
288 pages
Collection
n.c
Parution
2013-02-07
Marque
Wiley-ISTE
EAN papier
9781848213111
EAN PDF
9781118603314
Informations sur l'ebook
Nombre pages copiables
0
Nombre pages imprimables
288
Taille du fichier
1792 Ko
Prix
163,47 €
EAN EPUB
9781118603246
Informations sur l'ebook
Nombre pages copiables
0
Nombre pages imprimables
288
Taille du fichier
4618 Ko
Prix
163,47 €

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