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Stochastic Integration and Differential Equations
Language: en
Pages: 430
Authors: Philip Protter
Categories: Mathematics
Type: BOOK - Published: 2013-12-21 - Publisher: Springer

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It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts
Introduction to Stochastic Integration
Language: en
Pages: 292
Authors: K.L. Chung
Categories: Mathematics
Type: BOOK - Published: 2013-11-09 - Publisher: Springer Science & Business Media

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A highly readable introduction to stochastic integration and stochastic differential equations, this book combines developments of the basic theory with applica
Stochastic Integration and Differential Equations
Language: en
Pages: 311
Authors: Philip Protter
Categories: Mathematics
Type: BOOK - Published: 2013-04-17 - Publisher: Springer Science & Business Media

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The idea of this book began with an invitation to give a course at the Third Chilean Winter School in Probability and Statistics, at Santiago de Chile, in July,
Numerical Integration of Stochastic Differential Equations
Language: en
Pages: 178
Authors: G.N. Milstein
Categories: Computers
Type: BOOK - Published: 2013-03-09 - Publisher: Springer Science & Business Media

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This book is devoted to mean-square and weak approximations of solutions of stochastic differential equations (SDE). These approximations represent two fundamen
Introduction to Stochastic Integration
Language: en
Pages: 290
Authors: Hui-Hsiung Kuo
Categories: Mathematics
Type: BOOK - Published: 2006-02-04 - Publisher: Springer Science & Business Media

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Also called Ito calculus, the theory of stochastic integration has applications in virtually every scientific area involving random functions. This introductory