Modeling with Itô Stochastic Differential Equations
Dynamical systems with random influences occur throughout the physical, biological, and social sciences. By carefully studying a randomly varying system over a small time interval, a discrete stochastic process model can be constructed. Next, letting the time interval shrink to zero, an Ito stochast...
Gardado en:
| Autor Principal: | |
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| Formato: | Livre numérique |
| Idioma: | Anglais |
| Publicado: |
Dordrecht :
Springer Netherlands
[20..].
Cham : Springer Nature |
| Edición: | 1st ed. 2007. |
| Series: | Mathematical Modelling: Theory and Applications
22 |
| Sujets: | |
| Acceso en liña: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
L'impression du document génère 237 p. Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Modeling with Itô stochastic differential equations, by E. Allen,..., 2007, Dordrecht, Springer, 1 vol. (XII-228 p.), Mathematical modelling, 978-1-4020-5952-0 • Modeling with Itô Stochastic Differential Equations, Texte imprimé, 9789048174874 • Modeling with Itô Stochastic Differential Equations, Texte imprimé, 9789048112944 |
| Résumé: | Dynamical systems with random influences occur throughout the physical, biological, and social sciences. By carefully studying a randomly varying system over a small time interval, a discrete stochastic process model can be constructed. Next, letting the time interval shrink to zero, an Ito stochastic differential equation model for the dynamical system is obtained. This modeling procedure is thoroughly explained and illustrated for randomly varying systems in population 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. Computer programs, given throughout the text, are useful in solving representative stochastic problems. Analytical and computational exercises are provided in each chapter that complement the material in the text. Modeling with Itô Stochastic Differential Equations is useful for researchers and graduate students. As a textbook for a graduate course, prerequisites include probability theory, differential equations, intermediate analysis, and some knowledge of scientific programming |
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| descrición da copia: | L'impression du document génère 237 p. Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Bibliografía: | Bibliogr. Index |
| ISBN: | 9781402059537 |
| Acceso: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |