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Applied Stochastic Analysis (Paperback): Weinan E, Tiejun Li, Eric Vanden-Eijnden Applied Stochastic Analysis (Paperback)
Weinan E, Tiejun Li, Eric Vanden-Eijnden
R2,263 Discovery Miles 22 630 Ships in 12 - 17 working days

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.

Continuous-Time Random Walks for the Numerical Solution of Stochastic Differential Equations (Paperback): Nawaf Bou-Rabee, Eric... Continuous-Time Random Walks for the Numerical Solution of Stochastic Differential Equations (Paperback)
Nawaf Bou-Rabee, Eric Vanden-Eijnden
R2,279 R1,971 Discovery Miles 19 710 Save R308 (14%) Ships in 12 - 17 working days

This paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical finance, population dynamics, chemical kinetics, epidemiology, biophysics, and polymeric fluids. These schemes are obtained by spatially discretizing the Kolmogorov equation associated with the SDE in such a way that the resulting semi-discrete equation generates a Markov jump process that can be realized exactly using a Monte Carlo method. In this construction the jump size of the approximation can be bounded uniformly in space, which often guarantees that the schemes are numerically stable for both finite and long time simulation of SDEs.

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