Stochastic Differential Equations For Science And Engineering

Author : Uffe Høgsbro Thygesen
Publisher : CRC Press
ISBN 13 : 1000884996
Total Pages : 381 pages
Book Rating : 4.99/5 ( download)

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Download or read book Stochastic Differential Equations for Science and Engineering written by Uffe Høgsbro Thygesen and published by CRC Press. This book was released on 2023-06-15 with total page 381 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Differential Equations for Science and Engineering is aimed at students at the M.Sc. and PhD level. The book describes the mathematical construction of stochastic differential equations with a level of detail suitable to the audience, while also discussing applications to estimation, stability analysis, and control. The book includes numerous examples and challenging exercises. Computational aspects are central to the approach taken in the book, so the text is accompanied by a repository on GitHub containing a toolbox in R which implements algorithms described in the book, code that regenerates all figures, and solutions to exercises. Features: Contains numerous exercises, examples, and applications Suitable for science and engineering students at Master’s or PhD level Thorough treatment of the mathematical theory combined with an accessible treatment of motivating examples GitHub repository available at: https://github.com/Uffe-H-Thygesen/SDEbook and https://github.com/Uffe-H-Thygesen/SDEtools

Author : Douglas Henderson
Publisher : World Scientific
ISBN 13 : 9814480533
Total Pages : 240 pages
Book Rating : 4.36/5 ( download)

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Download or read book Stochastic Differential Equations In Science And Engineering (With Cd-rom) written by Douglas Henderson and published by World Scientific. This book was released on 2006-08-01 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traditionally, non-quantum physics has been concerned with deterministic equations where the dynamics of the system are completely determined by initial conditions. A century ago the discovery of Brownian motion showed that nature need not be deterministic. However, it is only recently that there has been broad interest in nondeterministic and even chaotic systems, not only in physics but in ecology and economics. On a short term basis, the stock market is nondeterministic and often chaotic. Despite its significance, there are few books available that introduce the reader to modern ideas in stochastic systems. This book provides an introduction to this increasingly important field and includes a number of interesting applications.

Author : K. Sobczyk
Publisher : Springer Science & Business Media
ISBN 13 : 9401137129
Total Pages : 414 pages
Book Rating : 4.26/5 ( download)

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Download or read book Stochastic Differential Equations written by K. Sobczyk and published by Springer Science & Business Media. This book was released on 2013-12-01 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Et moi, ..~ si lavait su CO.llUlJalt en revc:nir, One acMcc matbcmatica bu JaIdcred the human rac:c. It bu put COIDIDOD _ beet je n'y serais point aBe.' Jules Verne wbac it bdoup, 0Jl!be~ IbcII _t to!be dusty cauialcr Iabc & d 'diMardod__ The series is divergent; thc:reforc we may be -'. I!.ticT. Bc:I1 able to do something with it. O. Hcavisidc Mathematics is a tool for thought. A highly necessary tool in a world when: both feedback and non linearities abound. Similarly. all kinds of parts of mathematics serve as tools for other parts and for other sciences. Applying a simple rewriting rule to the quote on the right above one finds such statcmalts as: 'One service topology has rendered mathematical physics ...-; 'One service logic has rendered c0m puter science ... '; 'One service category theory has rendered mathematics ... '. All arguably true. And all statements obtainable this way form part of the raison d'etre of this series. This series, Mathematics and Its Applications. started in 19n. Now that over one hundred volumes have appeared it seems opportune to reexamine its scope. At the time I wrote "Growing specialization and diversification have brought a host of monographs and textbooks on increasingly specialized topics. However. the 'tree' of knowledge of mathematics and related fields does not grow only by putting forth new branc:hes. It also happens, quite often in fact, that branches which were thought to be completely

Author : Rong SITU
Publisher : Springer Science & Business Media
ISBN 13 : 0387251758
Total Pages : 444 pages
Book Rating : 4.52/5 ( download)

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Download or read book Theory of Stochastic Differential Equations with Jumps and Applications written by Rong SITU and published by Springer Science & Business Media. This book was released on 2006-05-06 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic differential equations (SDEs) are a powerful tool in science, mathematics, economics and finance. This book will help the reader to master the basic theory and learn some applications of SDEs. In particular, the reader will be provided with the backward SDE technique for use in research when considering financial problems in the market, and with the reflecting SDE technique to enable study of optimal stochastic population control problems. These two techniques are powerful and efficient, and can also be applied to research in many other problems in nature, science and elsewhere.

Author : Simo Särkkä
Publisher : Cambridge University Press
ISBN 13 : 1316510085
Total Pages : 327 pages
Book Rating : 4.87/5 ( download)

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Download or read book Applied Stochastic Differential Equations written by Simo Särkkä and published by Cambridge University Press. This book was released on 2019-05-02 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.

Author : Mircea Grigoriu
Publisher : Springer Science & Business Media
ISBN 13 : 0817682287
Total Pages : 784 pages
Book Rating : 4.86/5 ( download)

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Download or read book Stochastic Calculus written by Mircea Grigoriu and published by Springer Science & Business Media. This book was released on 2013-12-11 with total page 784 pages. Available in PDF, EPUB and Kindle. Book excerpt: Algebraic, differential, and integral equations are used in the applied sciences, en gineering, economics, and the social sciences to characterize the current state of a physical, economic, or social system and forecast its evolution in time. Generally, the coefficients of and/or the input to these equations are not precisely known be cause of insufficient information, limited understanding of some underlying phe nomena, and inherent randonmess. For example, the orientation of the atomic lattice in the grains of a polycrystal varies randomly from grain to grain, the spa tial distribution of a phase of a composite material is not known precisely for a particular specimen, bone properties needed to develop reliable artificial joints vary significantly with individual and age, forces acting on a plane from takeoff to landing depend in a complex manner on the environmental conditions and flight pattern, and stock prices and their evolution in time depend on a large number of factors that cannot be described by deterministic models. Problems that can be defined by algebraic, differential, and integral equations with random coefficients and/or input are referred to as stochastic problems. The main objective of this book is the solution of stochastic problems, that is, the determination of the probability law, moments, and/or other probabilistic properties of the state of a physical, economic, or social system. It is assumed that the operators and inputs defining a stochastic problem are specified.

Author : K. Sobczyk
Publisher : Springer
ISBN 13 : 9789401137133
Total Pages : 400 pages
Book Rating : 4.37/5 ( download)

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Download or read book Stochastic Differential Equations written by K. Sobczyk and published by Springer. This book was released on 2011-12-24 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Peter E. Kloeden
Publisher : Springer Science & Business Media
ISBN 13 : 3662126168
Total Pages : 666 pages
Book Rating : 4.65/5 ( download)

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Download or read book Numerical Solution of Stochastic Differential Equations written by Peter E. Kloeden and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 666 pages. Available in PDF, EPUB and Kindle. Book excerpt: The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP

Author : Soong
Publisher : Academic Press
ISBN 13 : 0080956122
Total Pages : 326 pages
Book Rating : 4.21/5 ( download)

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Download or read book Random Differential Equations in Science and Engineering written by Soong and published by Academic Press. This book was released on 1973-09-21 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: Random Differential Equations in Science and Engineering

Author : Bernt Oksendal
Publisher : Springer Science & Business Media
ISBN 13 : 3662025744
Total Pages : 199 pages
Book Rating : 4.41/5 ( download)

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Download or read book Stochastic Differential Equations written by Bernt Oksendal and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 199 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "The author, a lucid mind with a fine pedagogical instinct, has written a splendid text. He starts out by stating six problems in the introduction in which stochastic differential equations play an essential role in the solution. Then, while developing stochastic calculus, he frequently returns to these problems and variants thereof and to many other problems to show how the theory works and to motivate the next step in the theoretical development. Needless to say, he restricts himself to stochastic integration with respect to Brownian motion. He is not hesitant to give some basic results without proof in order to leave room for "some more basic applications... The book can be an ideal text for a graduate course, but it is also recommended to analysts (in particular, those working in differential equations and deterministic dynamical systems and control) who wish to learn quickly what stochastic differential equations are all about." Acta Scientiarum Mathematicarum, Tom 50, 3-4, 1986#1 "The book is well written, gives a lot of nice applications of stochastic differential equation theory, and presents theory and applications of stochastic differential equations in a way which makes the book useful for mathematical seminars at a low level. (...) The book (will) really motivate scientists from non-mathematical fields to try to understand the usefulness of stochastic differential equations in their fields." Metrica#2