Modeling with Itô Stochastic Differential Equations

Name: Modeling with Itô Stochastic Differential Equations
Brand: Springer Netherlands
SKU: 9781402059520
Price: 40448 HUF
Availability: InStock

Szerző: Edward Allen

Nyelv:

Kötés: Kemény kötésű

Kiadó: Springer Netherlands

Elérhetőség: Beszállítói készleten alacsony példányszámban

Küldés 13-18 napon belül

40 448 Ft

Dynamical systems with random influences occur throughout the physical, biological, and social scien...

Információk a könyvről

Szerző

Edward Allen

Nyelv

Angol

Kötés

Könyv - Kemény kötésű

Kiadva

2007

oldal

230

EAN

9781402059520

ISBN

1402059523

Enbook ID

01417205

Kiadó

Springer Netherlands

Súly

504

Méretek

156 x 234 x 14

Teljes leírás

Dynamical systems with random influences occur throughout the physical, biological, and social sciences. By carefully studying a randomly varying system over a small time interval, a discrete stochastic process model can be constructed. Next, letting the time interval shrink to zero, an Ito stochastic differential equation model for the dynamical system is obtained. §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. §Modeling with Itô Stochastic Differential Equations is useful for researchers and graduate students. As a textbook for a graduate course, prerequisites include probability theory, differential equations, intermediate analysis, and some knowledge of scientific programming.

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Modeling with Itô Stochastic Differential Equations

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