Stochastic Integral And Differential Equations In Mathematical Modelling
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A01=Santanu Saha Ray
Author_Santanu Saha Ray
Bernstein Polynomials
Category=PBWH
Category=PBWL
Chebyshev Spectral Collocation
Derivative Free Milstein
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
Euler-Maruyama Scheme
Extended Auxiliary Equation Method
Higher Order Approximation Scheme
Hybrid-Legendre Block Pulse Functions
Improved Sub-Equation Method
Jacobi Elliptic Function Expansion Method
Kudryashov Method
Order 1.5 Strong Taylor Method
Second Kind Chebyshev Wavelets
Split-Step Forward Euler-Maruyama Method
Stochastic Differential Equation
Stochastic Processes
Wiener Processes
Product details
- ISBN 9781800613577
- Publication Date: 05 Jun 2023
- Publisher: World Scientific Europe Ltd
- Publication City/Country: GB
- Product Form: Hardback
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The modelling of systems by differential equations usually requires that the parameters involved be completely known. Such models often originate from problems in physics or economics where we have insufficient information on parameter values. One important class of stochastic mathematical models is stochastic partial differential equations (SPDEs), which can be seen as deterministic partial differential equations (PDEs) with finite or infinite dimensional stochastic processes — either with colour noise or white noise. Though white noise is a purely mathematical construction, it can be a good model for rapid random fluctuations.Stochastic Integral and Differential Equations in Mathematical Modelling concerns the analysis of discrete-time approximations for stochastic differential equations (SDEs) driven by Wiener processes. It also provides a theoretical basis for working with SDEs and stochastic processes.This book is written in a simple and clear mathematical logical language, with basic definitions and theorems on stochastic calculus provided from the outset. Each chapter contains illustrated examples via figures and tables. The reader can also construct new wavelets by using the procedure presented in the book. Stochastic Integral and Differential Equations in Mathematical Modelling fulfils the existing gap in the literature for a comprehensive account of this subject area.
