Introduction to stochastic analysis : integrals and differential equations

Introduction to stochastic analysis integrals and differential equations

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, ra...

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Detalles Bibliográficos
Otros Autores: Mackevicius, Vigirdas, author (author)
Formato: Libro electrónico
Idioma:Inglés
Publicado: London : Hoboken, N.J. : ISTE Ltd ; John Wiley 2011.
Edición:First edition
Colección:Applied stochastic methods series
Materias:
Stochastic analysis.
Ver en Biblioteca Universitat Ramon Llull:https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627737906719
Tabla de Contenidos:
  • 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.

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