Modeling With Ito Stochastic Differential Equations - Couverture rigide

Allen, E.

9781402059520: Modeling With Ito Stochastic Differential Equations

Couverture rigide

ISBN 10 : 1402059523 ISBN 13 : 9781402059520

Editeur : Springer-Verlag New York Inc., 2007

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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 It� 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.

Les informations fournies dans la section � Synopsis � peuvent faire r�f�rence � une autre �dition de ce titre.

Pr�sentation de l'�diteur

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.

Les informations fournies dans la section � A propos du livre � peuvent faire r�f�rence � une autre �dition de ce titre.

�diteurSpringer-Verlag New York Inc.
Date d'�dition2007
ISBN 10 1402059523
ISBN 13 9781402059520
ReliureReli�
Langueanglais
Nombre de pages230
Coordonn�es du fabricantnon disponible

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Modeling with It� Stochastic Differential Equations

E. Allen

Edit� par Springer Mrz 2007, 2007

ISBN 10 : 1402059523 ISBN 13 : 9781402059520

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Buch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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 It� 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. 230 pp. Englisch. N� de r�f. du vendeur 9781402059520

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Modeling with It� Stochastic Differential Equations

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Buch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - 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 It� 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. N� de r�f. du vendeur 9781402059520

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Modeling with It� Stochastic Differential Equations

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