Stochastic Differential Equations in Science And Engineering

Traditionally, non-quantum physics has been concerned with deterministic equations where the dynamics of the system are completely determined by initial conditions. A century ago the discovery of Brownian motion showed that nature need not be deterministic. However, it is only recently that there has been broad interest in nondeterministic and even chaotic systems, not only in physics but in ecology and economics. On a short term basis, the stock market is nondeterministic and often chaotic. Despite its significance, there are few books available that introduce the reader to modern ideas in stochastic systems. This book provides an introduction to this increasingly important field and includes a number of interesting applications.

The readers will benefit from the illustrations of complex applied phenomena which are well described by using SDEs ]] At the end of each chapter there are useful exercises with detailed solutions or hints ]] Anybody working in the area of, or dealing with, stochastic processes, in particular with SDEs, will find interesting topics and/or illustratio -- Zentralblatt MATH "Zentralblatt MATH"