For mathematicians, this book can be used as a first text on stochastic calculus or as a companion to more rigorous texts by a way of examples and exercises. The book covers models in mathematical finance, biology and engineering. Using such structure, the text will provide a mathematically literate reader with rapid introduction to the subject and its advanced applications. It contains many solved examples and exercises making it suitable for self study.In the book many of the concepts are introduced through worked-out examples, eventually leading to a complete, rigorous statement of the general result, and either a complete proof, a partial proof or a reference. It is also suitable for researchers to gain working knowledge of the subject. ![]() It may be used as a textbook by graduate and advanced undergraduate students in stochastic processes, financial mathematics and engineering. Not everything is proved, but enough proofs are given to make it a mathematically rigorous exposition.This book aims to present the theory of stochastic calculus and its applications to an audience which possesses only a basic knowledge of calculus and probability. In biology, it is applied to populations' models, and in engineering it is applied to filter signal from noise. In finance, the stochastic calculus is applied to pricing options by no arbitrage. It also gives its main applications in finance, biology and engineering. It can be used by researchers and practitioners in both academia and industry.This book presents a concise and rigorous treatment of stochastic calculus. Readership: Advanced undergraduate and graduate level students in Science, Economics, and Business. This edition has also improved presentation from the first edition in several chapters, including new material. The present edition contains a total of about 250 exercises. This edition contains also a final chapter material containing fully solved review problems and provides solutions, or at least valuable hints, to all proposed problems. ISBN 10: 1848168322 ISBN 13: 9781848168329 Publisher: Icp, 2012 View all copies of this ISBN edition: Synopsis About this title This book presents a concise and rigorous treatment of stochastic calculus. First, two more chapters have been added, Chapter 12 and Chapter 13, dealing with applications of stochastic processes in Electrochemistry and global optimization methods. ![]() The second edition contains several new features that improved the first edition both qualitatively and quantitatively. This assumes a presentation that mimics similar properties of deterministic Calculus, which facilitates understanding of more complicated topics of Stochastic Calculus. ![]() More information about these requirements can be found here, you may have to. The author's goal was to capture as much as possible the spirit of elementary deterministic Calculus, at which students have been already exposed. If you need to change your password, please comply with the TU/e requirements. The goal of this book is to present Stochastic Calculus at an introductory level and not at its maximum mathematical detail. Stochastic Calculus is not an easy to grasp theory, and in general, requires acquaintance with the probability, analysis and measure theory. ![]() All these applications assume a strong mathematical background, which in general takes a long time to develop. These include, but are not limited to, signal processing, noise filtering, stochastic control, optimal stopping, electrical circuits, financial markets, molecular chemistry, population dynamics, etc. Most branches of science involving random fluctuations can be approached by Stochastic Calculus.
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