Stochastic Differential Equations: An Introduction with Applications (Universitext)

Stochastic Differential Equations: An Introduction with Applications (Universitext)This book gives an introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to motivate and illustrate the theory and show its importance for many applications in e.g. economics, biology and physics. The basic idea of the presentation is to start from some basic results (without proofs) of the easier cases and develop the theory from there, and to concentrate on the proofs of the easier case (which nevertheless are often suffi…

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Stochastic Equations: Theory and Applications in Acoustics, Hydrodynamics, Magnetohydrodynamics, and Radiophysics, Volume 2 : Coherent Phenomena in … Systems (Understanding Complex Systems)

Stochastic Equations: Theory and Applications in Acoustics, Hydrodynamics, Magnetohydrodynamics, and Radiophysics, Volume 2 : Coherent Phenomena in ... Systems (Understanding Complex Systems)This book gives an introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to motivate and illustrate the theory and show its importance for many applications in e.g. economics, biology and physics. The basic idea of the presentation is to start from some basic results (without proofs) of the easier cases and develop the theory from there, and to concentrate on the proofs of the easier case (which nevertheless are often suffi…

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Stochastic Equations: Theory and Applications in Acoustics, Hydrodynamics, Magnetohydrodynamics, and Radiophysics, Volume 1: Basic Concepts, Exact … (Understanding Complex Systems)

Stochastic Equations: Theory and Applications in Acoustics, Hydrodynamics, Magnetohydrodynamics, and Radiophysics, Volume 1: Basic Concepts, Exact ... (Understanding Complex Systems)This book gives an introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to motivate and illustrate the theory and show its importance for many applications in e.g. economics, biology and physics. The basic idea of the presentation is to start from some basic results (without proofs) of the easier cases and develop the theory from there, and to concentrate on the proofs of the easier case (which nevertheless are often suffi…

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Elementary Applications of Probability Theory: With an Introduction to Stochastic Differential Equations (Chapman & Hall Statistics Textbook Series)

Elementary Applications of Probability Theory: With an Introduction to Stochastic Differential Equations (Chapman & Hall Statistics Textbook Series)This book gives an introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to motivate and illustrate the theory and show its importance for many applications in e.g. economics, biology and physics. The basic idea of the presentation is to start from some basic results (without proofs) of the easier cases and develop the theory from there, and to concentrate on the proofs of the easier case (which nevertheless are often suffi…

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Stochastic Calculus and Financial Applications (Stochastic Modelling and Applied Probability)

Stochastic Calculus and Financial Applications (Stochastic Modelling and Applied Probability)This book gives an introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to motivate and illustrate the theory and show its importance for many applications in e.g. economics, biology and physics. The basic idea of the presentation is to start from some basic results (without proofs) of the easier cases and develop the theory from there, and to concentrate on the proofs of the easier case (which nevertheless are often suffi…

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2: Probabilistic Theory of Mean Field Games with Applications II: Mean Field Games with Common Noise and Master Equations (Probability Theory and Stochastic Modelling)

2: Probabilistic Theory of Mean Field Games with Applications II: Mean Field Games with Common Noise and Master Equations (Probability Theory and Stochastic Modelling)This book gives an introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to motivate and illustrate the theory and show its importance for many applications in e.g. economics, biology and physics. The basic idea of the presentation is to start from some basic results (without proofs) of the easier cases and develop the theory from there, and to concentrate on the proofs of the easier case (which nevertheless are often suffi…

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Stochastic Equations: Theory and Applications in Acoustics, Hydrodynamics, Magnetohydrodynamics, and Radiophysics, Volume 1: Basic Concepts, Exact Res (Understanding Complex Systems)

Stochastic Equations: Theory and Applications in Acoustics, Hydrodynamics, Magnetohydrodynamics, and Radiophysics, Volume 1: Basic Concepts, Exact Res (Understanding Complex Systems)This monograph set presents a consistent and self-contained framework of stochastic dynamic systems with maximal possible completeness. Volume 1 presents the basic concepts, exact results, and asymptotic approximations of the theory of stochastic equations on the basis of the developed functional approach. This approach offers a possibility of both obtaining exact solutions to stochastic problems for a number of models of fluctuating parameters and constructing various asymptotic buildings. Idea…

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Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability)

Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability)In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations is more complex than that of those only driven by Wiener processes, described in Kloeden & Platen: Numerical Solution of Stochastic Differential Equations (1992). The present monograph builds on the above-mentioned work and provides an introduction to stochastic differentia…

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