Introduction to Stochastic Analysis (PDF)
Integrals and Differential Equations
(Sprache: Englisch)
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...
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...
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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.
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.
Autoren-Porträt von Vigirdas Mackevicius
Vigirdas Mackevièius is a professor of Faculty of Mathematics and Informatics at Vilnius University in Lithuania.
Bibliographische Angaben
- Autor: Vigirdas Mackevicius
- 2013, 1. Auflage, 288 Seiten, Englisch
- Verlag: John Wiley & Sons
- ISBN-10: 1118603311
- ISBN-13: 9781118603314
- Erscheinungsdatum: 07.02.2013
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- Dateiformat: PDF
- Größe: 1.75 MB
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Sprache:
Englisch
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