Stochastic Calculus: Applications in Science and Engineering / Edition 1

Stochastic Calculus: Applications in Science and Engineering / Edition 1

by Mircea Grigoriu
     
 

ISBN-10: 0817642420

ISBN-13: 9780817642426

Pub. Date: 09/24/2002

Publisher: Birkhauser Verlag

This work focuses on analyzing and presenting solutions for a wide ran ge of stochastic problems that are encountered in applied mathematics, probability, physics, engineering, finance, and economics. The approa ch used reduces the gap between the mathematical and engineering liter ature. Stochastic problems are defined by algebraic, differential or integral

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Overview

This work focuses on analyzing and presenting solutions for a wide ran ge of stochastic problems that are encountered in applied mathematics, probability, physics, engineering, finance, and economics. The approa ch used reduces the gap between the mathematical and engineering liter ature. Stochastic problems are defined by algebraic, differential or integral equations with random coefficients and/or input. However, it is the type, rather than the particular field of application, that is used to categorize these problems. An introductory chapter outlines th e types of stochastic problems under consideration in this book and il lustrates some of their applications.

Product Details

ISBN-13:
9780817642426
Publisher:
Birkhauser Verlag
Publication date:
09/24/2002
Edition description:
2002
Pages:
775
Product dimensions:
6.40(w) x 9.40(h) x 1.90(d)

Table of Contents

Introduction
• Probability Theory
• Shastic Processes
• Itô's Formula and Shastic Differential Equations
• Monte Carlo Simulation
• Deterministic System and Input
• Deterministic System and Shastic Input
• Shastic System and Deterministic Input
• Shastic System and Shastic Input
• Bibliography
• Index

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