A01=Vigirdas Mackevicius
application examples in physical sciences and finance
Author_Vigirdas Mackevicius
Brownian motion
Category=PBWL
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Ito and Stratonovich stochastic integrals
Ito's formula
Itô’s formula
Markov processes
motivation of stochastic models with Brownian motion
SDEs
simulation of solutions of SDEs
stochastic differential equations
Product details
- ISBN 9781848213111
- Weight: 553g
- Dimensions: 162 x 239mm
- Publication Date: 01 Jul 2011
- Publisher: ISTE Ltd and John Wiley & Sons Inc
- Publication City/Country: GB
- Product Form: Hardback
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This is an introduction to stochastic integration and stochastic differential equations written in an understandable way for a wide audience, from students of mathematics to practitioners in biology, chemistry, physics, and finances. The presentation is based on the naïve stochastic integration, rather than on abstract theories of measure and stochastic processes. The proofs are rather simple for practitioners and, at the same time, rather rigorous for mathematicians. Detailed application examples in natural sciences and finance are presented. Much attention is paid to simulation diffusion processes.
The topics covered include Brownian motion; motivation of stochastic models with Brownian motion; Itô and Stratonovich stochastic integrals, Itô’s formula; stochastic differential equations (SDEs); solutions of SDEs as Markov processes; application examples in physical sciences and finance; simulation of solutions of SDEs (strong and weak approximations). Exercises with hints and/or solutions are also provided.
The topics covered include Brownian motion; motivation of stochastic models with Brownian motion; Itô and Stratonovich stochastic integrals, Itô’s formula; stochastic differential equations (SDEs); solutions of SDEs as Markov processes; application examples in physical sciences and finance; simulation of solutions of SDEs (strong and weak approximations). Exercises with hints and/or solutions are also provided.
Vigirdas Mackevicius is Professor of the Department of Mathematical Analysis in the Faculty of Mathematics of Vilnius University in Lithuania. His research interests include stochastic analysis, limit theorems for stochastic processes, and stochastic numerics.
