Applied Stochastic Analysis

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Mathematics
Applied Stochastic Analysis

Applied Stochastic Analysis

Name: Applied Stochastic Analysis
ISBN: 9781470449339

Weinan E, Tiejun Li, Eric Vanden-Eijnden

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This is a textbook for advanced undergraduate students and beginning graduate students in applied mathematics. It presents the basic mathematical foundations of stochastic analysis (probability theory and stochastic processes) as well as some important practical tools and applications (e.g., the connection with differential equations, numerical methods, path integrals, random fields, statistical physics, chemical kinetics, and rare events). The book strikes a nice balance between mathematical formalism and intuitive arguments, a style that is most suited for applied mathematicians. Readers can learn both the rigorous treatment of stochastic analysis as well as practical applications in modeling and simulation. Numerous exercises nicely supplement the main exposition.

Categories:

Mathematics

Year:

2019

Publisher:

American Mathematical Society

Language:

english

ISBN 10:

1470449331

ISBN 13:

9781470449339