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Books > Science & Mathematics > Mathematics > Calculus & mathematical analysis > Differential equations
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Stochastic Calculus and Differential Equations for Physics and Finance (Hardcover, New)
Loot Price: R1,628
Discovery Miles 16 280
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Stochastic Calculus and Differential Equations for Physics and Finance (Hardcover, New)
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Stochastic calculus provides a powerful description of a specific
class of stochastic processes in physics and finance. However, many
econophysicists struggle to understand it. This book presents the
subject simply and systematically, giving graduate students and
practitioners a better understanding and enabling them to apply the
methods in practice. The book develops Ito calculus and
Fokker-Planck equations as parallel approaches to stochastic
processes, using those methods in a unified way. The focus is on
nonstationary processes, and statistical ensembles are emphasized
in time series analysis. Stochastic calculus is developed using
general martingales. Scaling and fat tails are presented via
diffusive models. Fractional Brownian motion is thoroughly analyzed
and contrasted with Ito processes. The Chapman-Kolmogorov and
Fokker-Planck equations are shown in theory and by example to be
more general than a Markov process. The book also presents new
ideas in financial economics and a critical survey of econometrics.
General
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