Modeling With Itô Stochastic Differential Equations


Edward Allen
This book explains a procedure for constructing realistic stochastic differential equation models for randomly varying systems in biology, chemistry, physics, engineering, and finance. Introductory chapters present the fundamental concepts of random variables, stochastic processes, stochastic integration, and stochastic differential equations. These concepts are explained in a Hilbert space setting which unifies and simplifies the presentation.
 


Hardcover edition.


Very Good.  Minor scratches to covers. Interior clean..



Published by Springer, 2007


xii + 230 pages


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