E Allen

(Author)

Modeling with Itô Stochastic Differential EquationsPaperback, 16 November 2010

Modeling with Itô Stochastic Differential Equations
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Part of Series
Mathematical Modelling: Theory and Applications
Print Length
230 pages
Language
English
Publisher
Springer
Date Published
16 Nov 2010
ISBN-10
9048174872
ISBN-13
9789048174874

Description

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.

Product Details

Author:
E Allen
Book Format:
Paperback
Country of Origin:
NL
Date Published:
16 November 2010
Dimensions:
23.39 x 15.6 x 1.3 cm
ISBN-10:
9048174872
ISBN-13:
9789048174874
Language:
English
Location:
Dordrecht
Pages:
230
Publisher:
Weight:
344.73 gm

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