Stochastic Calculus
Applications in Science and Engineering
(Sprache: Englisch)
Algebraic, differential, and integral equations are used in the applied sciences, en gineering, economics, and the social sciences to characterize the current state of a physical, economic, or social system and forecast its evolution in time. Generally, the...
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Klappentext zu „Stochastic Calculus “
Algebraic, differential, and integral equations are used in the applied sciences, en gineering, economics, and the social sciences to characterize the current state of a physical, economic, or social system and forecast its evolution in time. Generally, the coefficients of and/or the input to these equations are not precisely known be cause of insufficient information, limited understanding of some underlying phe nomena, and inherent randonmess. For example, the orientation of the atomic lattice in the grains of a polycrystal varies randomly from grain to grain, the spa tial distribution of a phase of a composite material is not known precisely for a particular specimen, bone properties needed to develop reliable artificial joints vary significantly with individual and age, forces acting on a plane from takeoff to landing depend in a complex manner on the environmental conditions and flight pattern, and stock prices and their evolution in time depend on a large number of factors that cannot be described by deterministic models. Problems that can be defined by algebraic, differential, and integral equations with random coefficients and/or input are referred to as stochastic problems. The main objective of this book is the solution of stochastic problems, that is, the determination of the probability law, moments, and/or other probabilistic properties of the state of a physical, economic, or social system. It is assumed that the operators and inputs defining a stochastic problem are specified.
Inhaltsverzeichnis zu „Stochastic Calculus “
- Introduction- Probability Theory
- Stochastic Processes
- Itô's Formula and Stochastic Differential Equations
- Monte Carlo Simulation
- Deterministic System and Input
- Deterministic System and Stochastic Input
- Stochastic System and Deterministic Input
- Stochastic System and Stochastic Input
- Bibliography
- Index.
Bibliographische Angaben
- Autor: Mircea Grigoriu
- 2002, 2002., 775 Seiten, Maße: 16 x 24,1 cm, Gebunden, Englisch
- Verlag: Springer
- ISBN-10: 0817642420
- ISBN-13: 9780817642426
- Erscheinungsdatum: 24.09.2002
Sprache:
Englisch
Rezension zu „Stochastic Calculus “
"When familiar at least with the basics of measure theoretic probability, one may use this book to get a feel for the type of problems one tackles with the given methods and the type of results one can expect and then proceed to more detailed expositions.... The book is an impressive achievement." -Mathematical Reviews
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