Offering an introduction to stochastic integration and stochastic differential equations, this book is written in an understandable way for a wide audience, from students of mathematics to practitioners in biology, chemistry, physics, and finances. Num Pages: 276 pages, Illustrations. BIC Classification: PBWL. Category: (G) General (US: Trade). Dimension: 232 x 161 x 20. Weight in Grams: 552. . 2011. . . . .

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Bibliographic Details

Title: Introduction to Stochastic Analysis
Publisher: ISTE Ltd and John Wiley & Sons Inc
Publication Date: 2011
Language: English
ISBN 10: 1848213115
ISBN 13: 9781848213111
Binding: Hardcover
Condition: New

About this title

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 na�ve 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; It� and Stratonovich stochastic integrals, It�’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.

About the Author

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

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