Simulation and Inference for Stochastic Differential Equations

With R Examples
1. Auflage. Softcover version of original hardcover Auflage 2008
ISBN: 978-1-4419-2607-4
Verlag: Springer

Buch, Englisch, 285 Seiten, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 464 g

Reihe: Springer Series in Statistics

Stochastic di?erential equations model stochastic evolution as time evolves. These models have a variety of applications in many disciplines and emerge naturally in the study of many phenomena. Examples of these applications are physics (see, e. g., [176] for a review), astronomy [202], mechanics [147], economics [26], mathematical ?nance [115], geology [69], genetic analysis (see, e. g., [110], [132], and [155]), ecology [111], cognitive psychology (see, e. g., [102], and [221]), neurology [109], biology [194], biomedical sciences [20], epidemi- ogy [17], political analysis and social processes [55], and many other ?elds of science and engineering. Although stochastic di?erential equations are quite popular models in the above-mentioned disciplines, there is a lot of mathem- ics behind them that is usually not trivial and for which details are not known to practitioners or experts of other ?elds. In order to make this book useful to a wider audience, we decided to keep the mathematical level of the book su?ciently low and often rely on heuristic arguments to stress the underlying ideas of the concepts introduced rather than insist on technical details. Ma- ematically oriented readers may ?nd this approach inconvenient, but detailed references are always given in the text. As the title of the book mentions, the aim of the book is twofold.

Zielgruppe

Research

Autoren/Hrsg.

Iacus, Stefano M.

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Elementare Stochastik
• Mathematik | Informatik Mathematik Mathematische Analysis Differentialrechnungen und -gleichungen
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Mathematik | Informatik EDV | Informatik Programmierung | Softwareentwicklung Grafikprogrammierung
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Computeranwendungen in der Mathematik
• Technische Wissenschaften Elektronik | Nachrichtentechnik Nachrichten- und Kommunikationstechnik
• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Numerische Mathematik
• Mathematik | Informatik EDV | Informatik Informatik

Inhaltsverzeichnis

Stochastic Processes and Stochastic Differential Equations.- Numerical Methods for SDE.- Parametric Estimation.- Miscellaneous Topics.