图书简介
The modelling of systems by differential equations usually requires that the parameters involved be completely known. Such models often originate from problems in physics or economics where we have insufficient information on parameter values. One important class of stochastic mathematical models is stochastic partial differential equations (SPDEs), which can be seen as deterministic partial differential equations (PDEs) with finite or infinite dimensional stochastic processes — either with colour noise or white noise. Though white noise is a purely mathematical construction, it can be a good model for rapid random fluctuations.This research monograph concerns analysis of discrete-time approximations for stochastic differential equations (SDEs) driven by Wiener processes. The first chapter of the book provides a theoretical basis for working with SDEs and stochastic processes.This book has been written in a simple and clear mathematical logical language. The basic definitions and theorems on stochastic calculus have been provided initially. Each chapter contains illustrated examples via figures and tables. Problems are included which will help readers understand the theories better. Also, the reader can construct new wavelets by using the procedure presented in the book. It will certainly fill up the blank space that the lack of a comprehensive book has caused.Key Features: oThe key selling point of the book is it covers various analytical and numerical methods for solving stochastic differential equations and integral equationsoSuitable for both postgraduate and research students in various branches of engineering/general and applied sciencesoThere are very few books available in the open literature which covers the very efficient use of both analytical and numerical methods (especially wavelet methods) for solving stochastic differential equations and integral equations and systems and applications with examplesoMany real physical phenomena are modelled by stochastic differential equationsoProblems involving fractional Brownian motion have also been discussed through examplesoStochastic point kinetics model has also been solved for various reactivities with detailed graphs and explanationsoIt will fill the blank space that a lack of a comprehensive book of stochastic differential equations has created
Introduction and Preliminaries of Stochastic Calculus; Analytical Solutions of Stochastic Differential Equations; Numerical Solutions of Stochastic Integral Equation; Numerical Solutions of Multi-Dimensional Stochastic Integral Equation; Numerical Solutions of Stochastic Integral Equations with Fractional Brownian Motion; Numerical Solutions of Stochastic Differential Equations Arising in Physical Phenomena; Numerical Solutions of Stochastic Point Kinetics Equations; Numerical Solutions of Fractional Stochastic Point Kinetics Equation; Conclusions and Future Directions; References
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