Stochastic differential equations in science and engineering
著者
書誌事項
Stochastic differential equations in science and engineering
World Scientific Pub., c2006
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内容説明・目次
内容説明
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.
目次
- Stochastic Variables and Stochastic Processes
- Stochastic Differential Equations
- The Fokker-Planck Equation
- Advanced Topics
- Numerical Solutions of Ordinary Stochastic Differential Equations.
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