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Applied Stochastic Analysis (Graduate Studies in Mathematics, 199) - Softcover

Book 177 of 190: Graduate Studies in Mathematics

E., Weinan; Li, Tiejun; Vanden-eijnden, Eric

 
9781470465698: Applied Stochastic Analysis (Graduate Studies in Mathematics, 199)
Softcover
ISBN 10: 1470465698 ISBN 13: 9781470465698
Publisher: American Mathematical Society, 2021

Synopsis

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.

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About the Author

Weinan E: Princeton University, Princeton, NJ, Tiejun Li: Peking University, Beijing, China, Eric Vanden-Eijnden: Courant Institute of Mathematical Sciences, New York, NY

"About this title" may belong to another edition of this title.

Publisher
American Mathematical Society
Publication date
2021
Language
English
ISBN 10 
1470465698
ISBN 13 
9781470465698
Binding
Paperback
Number of pages
305