Modeling with Ito Stochastic Differential Equations

E. Allen

Modeling with Ito Stochastic Differential Equations
Format
Paperback
Publisher
Springer
Country
NL
Published
16 November 2010
Pages
230
ISBN
9789048174874

Modeling with Ito Stochastic Differential Equations

E. Allen

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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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