Introduction to Stochastic Analysis: Integrals and Differential Equations (Applied Stochastic Methods) - Hardcover

Mackevicius, Vigirdas

Hardcover

ISBN 10: 1848213115 ISBN 13: 9781848213111

Verlag: Wiley-ISTE, 2011

Inhaltsangabe

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.

Über diesen Titel

Über die Autorin bzw. den Autor

Vigirdas Mackevicius is Professor of the Department of Mathematical Analysis in the Faculty of Mathematics of Vilnius University in Lithuania. His research interests include stochastic analysis, limit theorems for stochastic processes, and stochastic numerics.

Details zur Ausgabe

• Verlag: Wiley-ISTE
• Erscheinungsdatum: 2011
• Sprache: Englisch
• ISBN 10: 1848213115
• ISBN 13: 9781848213111
• Einband: Gebundene Ausgabe
• Auflage: 1
• Anzahl der Seiten: 288
• Kontakt zum Hersteller: Wiley-VCH GmbH; product_safety@wiley.com; ; Boschstrasse 12; Weinheim; 69469; Deutschland