Modeling with Itô Stochastic Differential Equations

Modeling with Itô Stochastic Differential Equations
Author :
Publisher : Springer Science & Business Media
Total Pages : 239
Release :
ISBN-10 : 9781402059537
ISBN-13 : 1402059531
Rating : 4/5 (37 Downloads)

Book Synopsis Modeling with Itô Stochastic Differential Equations by : E. Allen

Download or read book Modeling with Itô Stochastic Differential Equations written by E. Allen and published by Springer Science & Business Media. This book was released on 2007-03-08 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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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These notes are based on a postgraduate course I gave on stochastic differential equations at Edinburgh University in the spring 1982. No previous knowledge abo