Stochastic Calculus
Subtitle: Applications in Science and Engineering
Edition: 1 edition
Publisher: Birkhäuser Boston
Published: September 24, 2002
Language: eng
Format: Hardcover
Number of pages: 792
ISBN-13: 9780817642426
Subjects: Stochastics; Stochastic analysis; Applied Mathematics; Stochastic Processes; Mathematics; Science/Mathematics; Probability & Statistics - General; Mathematics / Statistics; applications of mathematics; numerical mathematics; probability theory; Applied
Description: "Stochastic problems are defined by algebraic, differential or integral equations with random coefficients and/or input. The type, rather than the particular field of applications, is used to categorize these problems. An introductory chapter defines the types of stochastic problems considered in the book and illustrates some of their applications. Chapter 2-5 outline essentials of probability theory, random processes, stochastic integration, and Monte Carlo simulation.

Chapters 6-9 present methods for solving problems defined by equations with deterministic and/or random coefficients and deterministic and/or stochastic inputs. The Monte Carlo simulation is used extensively throughout to clarify advanced theoretical concepts and provide solutions to a broad range of stochastic problems.".

"This self-contained text may be used for several graduate courses and as an important reference resource for applied scientists interested in analytical and numerical methods for solving stochastic problems."--BOOK JACKET.