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Stochastic Calculus on Hardback by Mircea Grigoriu
Stochastic Calculus on Hardback by Mircea Grigoriu
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Stochastic Calculus

Applications in Science and Engineering
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Description

This work focuses on analyzing and presenting solutions for a wide range of stochastic problems that are encountered in applied mathematics, probability, physics, engineering, finance, and economics. The approach used reduces the gap between the mathematical and engineering literature. Stochastic problems are defined by algebraic, differential or integral equations with random coefficients and/or input. However, it is the type, rather than the particular field of application, that is used to categorize these problems. An introductory chapter outlines the types of stochastic problems under consideration in this book and illustrates some of their applications. A user-friendly, systematic exposition unfolds as follows: the essentials of probability theory, random processes, stochastic integration, and Monte Carlo simulation are developed in chapters two to five. The Monte Carlo method is used extensively to illustrate difficult theoretical concepts and solve numerically some of the stochastic problems in chapters six to nine.
Release date Australia
September 24th, 2002
Audiences
  • Postgraduate, Research & Scholarly
  • Professional & Vocational
Edition
2002 ed.
Illustrations
576 Tables, black and white; XIV, 775 p.
Pages
775
Dimensions
156x234x41
ISBN-13
9780817642426
Product ID
2801544

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