E-Books →Modeling with Itô Stochastic Differential Equations (2024)

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.