Modeling with Itô Stochastic Differential Equations

by E. Allen and Edward Allen

Book Overview

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...

• Format: Paperback
• Language: English
• ISBN: 9048174872
• ISBN13: 9789048174874
• Release Date: November 2010
• Publisher: Springer
• Length: 230 Pages
• Weight: 0.76 lbs.
• Dimensions: 0.5" x 6.1" x 9.2"