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Stochastic Calculus

e-books in Stochastic Calculus category

Book cover: Stochastic Differential Equations: Models and NumericsStochastic Differential Equations: Models and Numerics
by - KTH ,
The goal of this course is to give useful understanding for solving problems formulated by stochastic differential equations models in science, engineering and finance. Typically, these problems require numerical methods to obtain a solution.
(2060 views)
Book cover: Lectures on Singular Stochastic PDEsLectures on Singular Stochastic PDEs
by - arXiv ,
The aim is to introduce the basic problems of non-linear PDEs with stochastic and irregular terms. We explain how it is possible to handle them using two main techniques: the notion of energy solutions and that of paracontrolled distributions.
(1190 views)
Book cover: Introduction to Stochastic ProcessesIntroduction to Stochastic Processes
by - The University of Texas at Austin ,
Contents: Probability review; Mathematica in 15 minutes; Stochastic Processes; Simple random walk; Generating functions; Random walks - advanced methods; Branching processes; Markov Chains; The 'Stochastics' package; Classification of States; etc.
(2552 views)

Book cover: Applied Stochastic Processes in Science and EngineeringApplied Stochastic Processes in Science and Engineering
by - University of Waterloo ,
This book is designed as an introduction to the ideas and methods used to formulate mathematical models of physical processes in terms of random functions. A senior undergraduate course offered to students with a suitably mathematical background.
(2286 views)
Book cover: Advanced Stochastic ProcessesAdvanced Stochastic Processes
by - Bookboon ,
In this book, which is basically self-contained, the following topics are treated thoroughly: Brownian motion as a Gaussian process, Brownian motion as a Markov process, Brownian motion as a martingale, Markov chains, renewal theory, etc.
(2633 views)
Book cover: Lectures on Stochastic Flows and ApplicationsLectures on Stochastic Flows and Applications
by - Tata Institute Of Fundamental Research ,
The author presents basic properties of stochastic flows, specially of Brownian flows and their relations with local characteristics and with stochastic differential equations. Various limit theorems for stochastic flows are presented.
(3949 views)
Book cover: Lectures on Stochastic Differential Equations and Malliavin CalculusLectures on Stochastic Differential Equations and Malliavin Calculus
by - Tata Institute of Fundamental Research ,
The author's main purpose in these lectures was to study solutions of stochastic differential equations as Wiener functionals and apply to them some infinite dimensional functional analysis. This idea was due to P. Malliavin.
(4510 views)
Book cover: Stochastic ProcessesStochastic Processes
by - BookBoon ,
In this book you will find the basic stochastic processes mathematics that is needed by engineers and university students. Topics such as elementary probability calculus, density functions and stochastic processes are illustrated.
(4058 views)
Book cover: Lectures on Topics in Stochastic Differential EquationsLectures on Topics in Stochastic Differential Equations
by - Tata Institute of Fundamental Research ,
The author's purpose in these lectures was to provide some insight into the properties of solutions to stochastic differential equations. In order to read these notes, one need only know the basic Ito theory of stochastic integrals.
(4049 views)
Book cover: Lectures on Stochastic ProcessesLectures on Stochastic Processes
by - Tata Institute of Fundamental Research ,
The book discusses the elementary parts of Stochastic Processes from the view point of Markov Processes. Topics: Markov Processes; Srong Markov Processes; Multi-dimensional Brownian Motion; Additive Processes; Stochastic Differential Equations; etc.
(6481 views)
Book cover: Probability Theory and Stochastic Processes with ApplicationsProbability Theory and Stochastic Processes with Applications
by - Overseas Press ,
This text covers material of a basic probability course, discrete stochastic processes including Martingale theory, continuous time stochastic processes like Brownian motion and stochastic differential equations, estimation theory, and more.
(5342 views)
Book cover: Synchronization and Linearity: An Algebra for Discrete Event SystemsSynchronization and Linearity: An Algebra for Discrete Event Systems
by - John Wiley & Sons ,
Presents new modelling and analysis techniques for the description of discrete event dynamic systems. Created within the text is a calculus which allows the derivation of analytical tools for computing the time behavior of this type of system.
(6456 views)
Book cover: Nonlinear Parameter Estimation: An Integrated System in BasicNonlinear Parameter Estimation: An Integrated System in Basic
by - Marcel Dekker Inc ,
This book and software collection is intended to help scientists, engineers and statisticians in their work. We have collected various software tools for nonlinear parameter estimation, along with representative example problems.
(7856 views)
Book cover: Stochastic Analysis - NotesStochastic Analysis - Notes
by ,
A gentle introduction to the mathematics of Stochastic Analysis. From the table of contents: Introduction; Conditional expectation; Martingales; Stochastic integration - informally; Wiener process; Ito's formula; Bibliography.
(9030 views)
Book cover: Stochastic CalculusStochastic Calculus
by ,
An informal introduction to Stochastic Calculus, and especially to the Ito integral and some of its applications. The text concentrates on the parts of the course which the author found hard, there is little or no comment on more standard matters.
(9454 views)
Book cover: Reversibility and Stochastic NetworksReversibility and Stochastic Networks
by - John Wiley and Sons Ltd ,
The book on vector stochastic processes in equilibrium or stochastic networks, with wide range of applications. It covers the concept of reversibility, the output from a queue, and the epolymerization process quilibrium distribution.
(10362 views)
Book cover: Markov Chains and Stochastic StabilityMarkov Chains and Stochastic Stability
by - Springer ,
The book on the theory of general state space Markov chains, and its application to time series analysis, operations research and systems and control theory. An advanced graduate text and a monograph treating the stability of Markov chains.
(14533 views)