Introduction to stochastic analysis : integrals and differential equations / Vigirdas Mackevičius.

Format:

Book

Author/Creator:

Mackevičius, Vigirdas, author.

Series:

Applied stochastic methods series

Language:

English

Subjects (All):

Stochastic analysis.

Physical Description:

1 online resource (278 pages)

Edition:

First edition.

Place of Publication:

London : ISTE Ltd ; Hoboken, N.J. : John Wiley, 2011.

Summary:

This is an introduction to stochastic integration and stochastic differential equations written in an understandable way for a wide audience, from students of mathematics to practitioners in biology, chemistry, physics, and finances. The presentation is based on the naïve stochastic integration, rather than on abstract theories of measure and stochastic processes. The proofs are rather simple for practitioners and, at the same time, rather rigorous for mathematicians. Detailed application examples in natural sciences and finance are presented. Much attention is paid to simulation diffusion pro

Contents:

Chapter 1.Introduction: Basic Notions of Probability Theory

Chapter 2. Brownian Motion

Chapter 3. Stochastic Models with Brownian Motion and White Noise

Chapter 4. Integral with Respect to Brownian Motion

Chapter 5. AccessItô's Formula

Chapter 6. Stochastic Differential Equations

Chapter 7. AccessItô Processes

Chapter 8. Stratonovich Integral and Equations

Chapter 9. Stochastic Differential Equations

Chapter 10. Solutions of SDEs as Markov Diffusion Processes

Chapter 11. Chapter 12. Example in Finance: Black-Scholes Model

Chapter 13. Numerical Solution of Stochastic Differential Equations Chapter 14. Elements of Multidimensional Stochastic Analysis.

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on metadata supplied by the publisher and other sources.

ISBN:

9781118603338

1118603338

9781118603246

1118603249

9781118603314

1118603311

9781299187825

129918782X

OCLC:

828298898