Stochastic Calculus: Applications in Science and Engineering

By Mircea Grigoriu

Book Overview

"Stochastic Calculus" focuses on analyzing and presenting solutions for a wide range of stochastic problems in applied mathematics, probability theory, physics, science, engineering, and finance. The author outlines essentials of probability theory, random processes, stochastic integration, and Monte Carlo simulation, then presents methods for solving problems defined by equations with deterministic and/or random coefficients and deterministic and/or stochastic inputs. This self-contained text may be used for graduate courses and as a reference for applied scientists interested in methods for solving stochastic problems.

• Format: Hardcover
• Language: English
• ISBN: 0817642420
• ISBN13: 9780817642426
• Release Date: September 2002
• Publisher: Birkhauser
• Length: 775 Pages
• Weight: 2.90 lbs.
• Dimensions: 1.6" x 6.4" x 9.5"