000			02506cam a22003618i 4500
008			240722s2024 nyu b 001 0 eng
020			_a9781470478391 (PB)
041			_aeng
080			_a519.216 -7 _bHOL
100	1		_aHolmes-Cerfon, Miranda,
245	1	0	_aApplied stochastic analysis
260			_aNew York _bCourant Institute of Mathematical Sciences _bAmerican Mathematical Society _c2024
300			_axiii, 236p.
490	0		_aCourant lecture notes _vVol. 33
500			_aIncludes Index
504			_aIncludes bibliography (p. 227-231) and references
520			_aThis 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.
650		0	_aStochastic analysis.
650		0	_aStochastic integrals.
650		0	_aMarkov processes.
650		7	_aProbability theory and stochastic processes -- Markov processes -- Markov chains (discrete-time Markov processes on discrete state spaces).
650		7	_aProbability theory and stochastic processes -- Instructional exposition (textbooks, tutorial papers, etc.).
650		7	_aProbability theory and stochastic processes -- Stochastic processes -- Foundations of stochastic processes.
650		7	_aProbability theory and stochastic processes -- Stochastic processes -- General theory of processes.
650		7	_aProbability theory and stochastic processes -- Stochastic analysis -- Stochastic integrals.
650		7	_aProbability theory and stochastic processes -- Stochastic analysis -- Stochastic ordinary differential equations.
650		7	_aProbability theory and stochastic processes -- Stochastic analysis -- Computational methods for stochastic equations.
650		7	_aProbability theory and stochastic processes -- Markov processes -- Continuous-time Markov processes on general state spaces.
650		7	_aNumerical analysis -- Probabilistic methods, simulation and stochastic differential equations -- Monte Carlo methods.
650		7	_aNumerical analysis -- Probabilistic methods, simulation and stochastic differential equations -- Stochastic differential and integral equations.
690			_aMathematics
942			_cBK
999			_c60703 _d60703