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Table of contents (9 chapters)
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Reviews
"When familiar at least with the basics of measure theoretic probability, one may use this book to get a feel for the type of problems one tackles with the given methods and the type of results one can expect and then proceed to more detailed expositions.... The book is an impressive achievement." —Mathematical Reviews
"The large number of examples...as well as the good survey on advanced mathematical techniques make the textbook very valuable for people working in mathematics with a view towards applications.... The applications range from climate dynamics over material sciences and mechanics to pattern formation, physics and finance. The presentation is very successful in providing a sound mathematical background without getting lost in too much technical detail. Most results are proved completely, for the others the main ideas and intuition are given and references for detailed expositions are given.... At the end of each chapter a list of instructive exercises is provided. The long list of references covers theoretical mathematical works as well as highly applied areas. Altogether this textbook has all the necessary prerequisites for boosting the interdisciplinary collaboration between applied scientists and probabilists." —Zentralblatt Math
"This is an impressive compendium, which, on its first 280 pages, provides a quite thorough review of probability theory, stochastic processes, Itô’s formula and stochastic differential equations.... Although the focus is on the mathematical theory, many examples from sciences or engineering illustrate the concepts and methods. Each chapter ends with a number of problems. This book will be of substantial interest to the applied scientists seeking methods to solve stochastic problems." —Monatshefte für Mathematik
Authors and Affiliations
Bibliographic Information
Book Title: Stochastic Calculus
Book Subtitle: Applications in Science and Engineering
Authors: Mircea Grigoriu
DOI: https://doi.org/10.1007/978-0-8176-8228-6
Publisher: Birkhäuser Boston, MA
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eBook Packages: Springer Book Archive
Copyright Information: Springer Science+Business Media New York 2002
Hardcover ISBN: 978-0-8176-4242-6Published: 24 September 2002
Softcover ISBN: 978-1-4612-6501-6Published: 13 December 2013
eBook ISBN: 978-0-8176-8228-6Published: 11 December 2013
Edition Number: 1
Number of Pages: XIV, 775
Topics: Probability Theory and Stochastic Processes, Applications of Mathematics, Partial Differential Equations, Computational Mathematics and Numerical Analysis