Mathematical modelling theory and applications modeling with it stochastic differential equations
Uiterlijk 28 januari in huis
By carefully studying a randomly varying system over a small time interval, a discrete stochastic process model can be constructed. Introductory chapters present the fundamental concepts of random variables, stochastic processes, stochastic integration, and stochastic differential equations.
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.
- 1 Bekijk alle specificaties
Taal: en
Bindwijze: Paperback
Oorspronkelijke releasedatum: 16 november 2010
Aantal pagina's: 230
Illustraties: Nee
Hoofdauteur: E. Allen
Tweede Auteur: E Allen
Hoofduitgeverij: Springer
Editie: Softcover reprint of hardcover 1st ed. 2007
Extra groot lettertype: Nee
Product breedte: 155 mm
Product hoogte: 13 mm
Product lengte: 235 mm
Studieboek: Ja
Verpakking breedte: 155 mm
Verpakking hoogte: 235 mm
Verpakking lengte: 235 mm
Verpakkingsgewicht: 454 g
EAN: 9789048174874