Applied stochastic analysis
Material type:
TextLanguage: English Series: Courant lecture notes ; Vol. 33Publication details: New York Courant Institute of Mathematical Sciences American Mathematical Society 2024Description: xiii, 236pISBN: 9781470478391 (PB)Subject(s): Stochastic analysis | Stochastic integrals | Markov processes | Probability theory and stochastic processes -- Markov processes -- Markov chains (discrete-time Markov processes on discrete state spaces) | Probability theory and stochastic processes -- Instructional exposition (textbooks, tutorial papers, etc.) | Probability theory and stochastic processes -- Stochastic processes -- Foundations of stochastic processes | Probability theory and stochastic processes -- Stochastic processes -- General theory of processes | Probability theory and stochastic processes -- Stochastic analysis -- Stochastic integrals | Probability theory and stochastic processes -- Stochastic analysis -- Stochastic ordinary differential equations | Probability theory and stochastic processes -- Stochastic analysis -- Computational methods for stochastic equations | Probability theory and stochastic processes -- Markov processes -- Continuous-time Markov processes on general state spaces | Numerical analysis -- Probabilistic methods, simulation and stochastic differential equations -- Monte Carlo methods | Numerical analysis -- Probabilistic methods, simulation and stochastic differential equations -- Stochastic differential and integral equations | MathematicsSummary: This textbook introduces the major ideas of stochastic analysis with a view to modeling or simulating systems involving randomness. Suitable for students and researchers in applied mathematics and related disciplines, this book prepares readers to solve concrete problems arising in physically motivated models. The author's practical approach avoids measure theory while retaining rigor for cases where it helps build techniques or intuition.
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| IMSc Library | IMSc Library | 519.216-7 HOL (Browse shelf (Opens below)) | Not for loan | 78334 |
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Includes Index
Includes bibliography (p. 227-231) and references
This textbook introduces the major ideas of stochastic analysis with a view to modeling or simulating systems involving randomness. Suitable for students and researchers in applied mathematics and related disciplines, this book prepares readers to solve concrete problems arising in physically motivated models. The author's practical approach avoids measure theory while retaining rigor for cases where it helps build techniques or intuition.
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