Stochastic Calculus - Applications in Science and Engineering (Hardcover, 2002 ed.)

An introductory chapter outlines the types of stochastic problems under consideration in this book and illustrates some of their applications. A user friendly, systematic exposition unfolds as follows: The essentials of probability theory, random processes, stochastic integration, and Monte Carlo simulation are developed in chapters 2--5. The Monte Carlo method is used extensively to illustrate difficult theoretical concepts and solve numerically some of the stochastic problems in chapters 6--9.

Key features:

* Computational skills developed as needed to solve realistic stochastic problems

* Classical mathematical notation used, and essential theoretical facts boxed

* Numerous examples from applied sciences and engineering

* Complete proofs given; if too technical, notes clarify the idea and/or main steps

* Problems at the end of each chapter reinforce applications; hints given.

* Good bibliography at the end of every chapter

* Comprehensive index

This work is unique, self-contained, and far from a collection of facts and formulas. The analytical and numerical methods approach for solving stochastic problems may be used for self-study by avariety of researchers, and in the classroom by first year graduate students.

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