Modeling with Itô Stochastic Differential Equations (Mathematical Modelling: Theory and Applications) PDF
240 Pages·2007·1.323 MB·English
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Preview Modeling with Itô Stochastic Differential Equations (Mathematical Modelling: Theory and Applications)
Description:
This book explains a procedure for constructing realistic stochastic differential equation models for randomly varying systems in biology, chemistry, physics, engineering, and finance. Introductory chapters present the fundamental concepts of random variables, stochastic processes, stochastic integration, and stochastic differential equations. These concepts are explained in a Hilbert space setting which unifies and simplifies the presentation.
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