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Introduction to Stochastic Analysis: Integrals and Differential Equations
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Introduction to Stochastic Analysis: Integrals and Differential Equations (Hardback)

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Synopsis

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 naive 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; Ito and Stratonovich stochastic integrals, Ito 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.

Science & MathematicsMathematicsApplied mathematicsStochasticsScience & MathematicsMathematicsCalculus & mathematical analysisFunctional analysis & transformsScience & MathematicsMathematicsProbability & statistics Publisher: ISTE Ltd and John Wiley & Sons Inc Publication Date: 01/07/2011 ISBN-13: 9781848213111  Details: Type: Hardback Format: Books
Availability: Currently unavailable to order online.  

Vigirdas Mackevi ius is a professor of Faculty of Mathematics and Informatics at Vilnius University in Lithuania.

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