Introduction to Stochastic Analysis

Integrals and Differential Equations

Nonfiction, Science & Nature, Mathematics, Functional Analysis
Cover of the book Introduction to Stochastic Analysis by Vigirdas Mackevicius, Wiley
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Vigirdas Mackevicius ISBN: 9781118603246
Publisher: Wiley Publication: February 7, 2013
Imprint: Wiley-ISTE Language: English
Author: Vigirdas Mackevicius
ISBN: 9781118603246
Publisher: Wiley
Publication: February 7, 2013
Imprint: Wiley-ISTE
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Wiley

Cover of the book HACCP by Vigirdas Mackevicius
Cover of the book The Three Worlds of Welfare Capitalism by Vigirdas Mackevicius
Cover of the book Diversity and Non-integer Differentiation for System Dynamics by Vigirdas Mackevicius
Cover of the book Child and Adolescent Therapy by Vigirdas Mackevicius
Cover of the book The Definitive Job Book by Vigirdas Mackevicius
Cover of the book Introducing Second Language Acquisition by Vigirdas Mackevicius
Cover of the book Hoffbrand's Essential Haematology by Vigirdas Mackevicius
Cover of the book Geography and Ethnography by Vigirdas Mackevicius
Cover of the book Stem Cells by Vigirdas Mackevicius
Cover of the book Qualitative Research in Practice by Vigirdas Mackevicius
Cover of the book Mesh Generation by Vigirdas Mackevicius
Cover of the book Fraud Risk Assessment by Vigirdas Mackevicius
Cover of the book Servant Leadership for Higher Education by Vigirdas Mackevicius
Cover of the book Market Trading Tactics by Vigirdas Mackevicius
Cover of the book Statische Beurteilung historischer Tragwerke by Vigirdas Mackevicius
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy