Informal Introduction To Stochastic Calculus With Applications, An
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A01=Ovidiu Calin
Author_Ovidiu Calin
Bessel Process
Brownian Motion
Category=PBWL
Chernoff Bounds
Dybkin's Formula
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
Filtering Theory
Gamma Distribution
Girsanov's Theorem
Grownwall's Lemma
Ito Calculus
Ito Diffusion
Jensen's Inequality
Kalman-Bucy Filter
Kolmogorov Backwards Equation
Langevin Equation
Levy Theorem
Markov's Inequality
Martingale
Mean Reverting
Mean Square Limit
Noisy Pendulum
Optional-Stopping Theorem
Ornstein-Uhlenbeck Process
Poisson Process
Probability Distribution
Radon-nikodym Theorem
Squared Bessel Process
Stochastic Harvesting
Stochastic Kinematics
Stochastic Processes
Transience of Brownian Motion
Wiener Integral
Product details
- ISBN 9789811247095
- Publication Date: 16 Dec 2021
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Hardback
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Most branches of science involving random fluctuations can be approached by Stochastic Calculus. These include, but are not limited to, signal processing, noise filtering, stochastic control, optimal stopping, electrical circuits, financial markets, molecular chemistry, population dynamics, etc. All these applications assume a strong mathematical background, which in general takes a long time to develop. Stochastic Calculus is not an easy to grasp theory, and in general, requires acquaintance with the probability, analysis and measure theory.The goal of this book is to present Stochastic Calculus at an introductory level and not at its maximum mathematical detail. The author's goal was to capture as much as possible the spirit of elementary deterministic Calculus, at which students have been already exposed. This assumes a presentation that mimics similar properties of deterministic Calculus, which facilitates understanding of more complicated topics of Stochastic Calculus.The second edition contains several new features that improved the first edition both qualitatively and quantitatively. First, two more chapters have been added, Chapter 12 and Chapter 13, dealing with applications of stochastic processes in Electrochemistry and global optimization methods.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. The present edition contains a total of about 250 exercises.This edition has also improved presentation from the first edition in several chapters, including new material.
