Introduction to Stochastic Analysis is popular PDF and ePub book, written by Vigirdas Mackevicius in 2013-02-07, it is a fantastic choice for those who relish reading online the Mathematics genre. Let's immerse ourselves in this engaging Mathematics book by exploring the summary and details provided below. Remember, Introduction to Stochastic Analysis can be Read Online from any device for your convenience.
Introduction to Stochastic Analysis Book PDF 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 processes. The topics covered include Brownian motion; motivation of stochastic models with Brownian motion; Itô and Stratonovich stochastic integrals, Itô’s formula; stochastic differential equations (SDEs); solutions of SDEs as Markov processes; application examples in physical sciences and finance; simulation of solutions of SDEs (strong and weak approximations). Exercises with hints and/or solutions are also provided.
Detail Book of Introduction to Stochastic Analysis PDF
- Author : Vigirdas Mackevicius
- Release : 07 February 2013
- Publisher : John Wiley & Sons
- ISBN : 9781118603246
- Genre : Mathematics
- Total Page : 220 pages
- Language : English
- PDF File Size : 19,6 Mb
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