Wow! eBook
Introduction to Stochastic Analysis: Integrals and Differential Equations
Author(s): Vigirdas Mackevicius (Author)
- Publisher: Wiley-ISTE
- Publication Date: 1 July 2011
- Edition: 1st
- Language: English
- Print length: 288 pages
- ISBN-10: 1848213115
- ISBN-13: 9781848213111
Book Description
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.
Editorial Reviews
Review
“Thus, the book is a welcome addition in the effort to make stochastic integration and SDE as accessible as possible to the greater public interested in or in need of using them.” (Mathematical Reviews, 1 February 2013)
“If I have a chance to teach (again) a course in stochastic financial modelling, I will definitely choose this to be among two or three sources to use. I have all the reasons to strongly recommend it to anybody in the area of modern stochastic modelling.” (Zentralblatt MATH, 1 December 2012)
About the Author
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.
