Overview
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.
Full Product Details
Author: V Mackevicius
Publisher: John Wiley & Sons Inc
Imprint: John Wiley & Sons Inc
Dimensions:
Width: 16.20cm
, Height: 2.00cm
, Length: 22.70cm
Weight: 0.371kg
ISBN: 9781118603338
ISBN 10: 1118603338
Pages: 288
Publication Date: 23 April 2013
Audience:
Professional and scholarly
,
Professional & Vocational
Format: Digital
Publisher's Status: Active
Availability: Not yet available
This item is yet to be released. You can pre-order this item and we will dispatch it to you upon its release.
Reviews
Thus, the book is a welcome addition in the effort to make stochastic integration and SDE as accessible as possible to the greater public interested in or in need of using them. ( Mathematical Reviews , 1 February 2013) If I have a chance to teach (again) a course in stochastic financial modelling, I will definitely choose this to be among two or three sources to use. I have all the reasons to strongly recommend it to anybody in the area of modern stochastic modelling. (Zentralblatt MATH, 1 December 2012)
Thus, the book is a welcome addition in the effort to make stochastic integration and SDE as accessible as possible to the greater public interested in or in need of using them. (Mathematical Reviews, 1 February 2013) If I have a chance to teach (again) a course in stochastic financial modelling, I will definitely choose this to be among two or three sources to use. I have all the reasons to strongly recommend it to anybody in the area of modern stochastic modelling. (Zentralblatt MATH, 1 December 2012)
Author Information
Vigirdas Mackevièius is a professor of Faculty of Mathematics and Informatics at Vilnius University in Lithuania.
