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:
Birkh�user Boston

Hardcover

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Overview

Stochastic Calculus: Applications in Science and Engineering / Edition 1

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: Birkh�user Boston
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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