Modeling with Itô Stochastic Differential Equations

• Main Author: Allen, E. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Dordrecht : Springer Netherlands, 2007.
• Series: Mathematical Modelling: Theory and Applications, 22
• Subjects: Mathematics.; Mathematical analysis.; Analysis (Mathematics).; Applied mathematics.; Engineering mathematics.; Computer mathematics.; Mathematical models.; Probabilities.; Probability Theory and Stochastic Processes.; Applications of Mathematics.; Analysis.; Mathematical Modeling and Industrial Mathematics.; Computational Mathematics and Numerical Analysis.

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 stochast...