Stochastic Calculus (eBook)

Applications in Science and Engineering

Mircea Grigoriu (Autor)

eBook Download: PDF

2013
Birkhauser Boston (Verlag)
978-0-8176-8228-6 (ISBN)

Infos

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.

Produkt-Details

• Erscheint lt. Verlag: 11.12.2013
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Analysis
• Themenwelt: Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• ISBN-10: 0-8176-8228-7 / 0817682287
• ISBN-13: 978-0-8176-8228-6 / 9780817682286