TY  - BOOK
AU  - Allen,E.
ED  - SpringerLink (Online service)
TI  - Modeling with Itô Stochastic Differential Equations
T2  - Mathematical Modelling: Theory and Applications,
SN  - 9781402059537
AV  - QA273.A1-274.9 
U1  - 519.2 23
PY  - 2007///
CY  - Dordrecht
PB  - Springer Netherlands
KW  - Distribution (Probability theory
KW  - Mathematics
KW  - Global analysis (Mathematics)
KW  - Computer science
KW  - Probability Theory and Stochastic Processes
KW  - Applications of Mathematics
KW  - Analysis
KW  - Mathematical Modeling and Industrial Mathematics
KW  - Computational Mathematics and Numerical Analysis
N1  - Random Variables -- Stochastic Processes -- Stochastic Integration -- Stochastic Differential Equations -- Modeling
N2  - Dynamical systems with random influences occur throughout the physical, biological, and social sciences. By carefully studying a randomly varying system over a small time interval, a discrete stochastic process model can be constructed. Next, letting the time interval shrink to zero, an Ito stochastic differential equation model for the dynamical system is obtained. This modeling procedure is thoroughly explained and illustrated for randomly varying systems in population 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. Computer programs, given throughout the text, are useful in solving representative stochastic problems. Analytical and computational exercises are provided in each chapter that complement the material in the text. Modeling with Itô Stochastic Differential Equations is useful for researchers and graduate students. As a textbook for a graduate course, prerequisites include probability theory, differential equations, intermediate analysis, and some knowledge of scientific programming
UR  - https://doi.org/10.1007/978-1-4020-5953-7
ER  -