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Modeling with Itô Stochastic Differential Equations

Modeling with Itô Stochastic Differential Equations

E. Allen

132,79 €
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Editorial:
Springer Nature B.V.
Año de edición:
2007
Materia
Probabilidad y estadística
ISBN:
9781402059520

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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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