Name: Modeling with Itô Stochastic Differential Equations
Author: Allen, Edward

Beschreibung

Modeling with Itô Stochastic Differential Equations

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. von Allen, Edward