Modeling with Itô Stochastic Differential Equations
Publication year: 2007
ISBN: 978-1-4020-5953-7
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This modeling procedure is thoroughly explained and illustrated for randomly varying systems in population 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. Computer programs, given throughout the text, are useful in solving representative stochastic problems. Analytical and computational exercises are provided in each chapter that complement the material in the text.
Subject: Mathematics and Statistics, Probability theory, Random variable, Stochastic processes, dynamische Systeme, model, modeling, programming, stochastic, stochastic, process
