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.
- ISBN13 9781470449339
- Publish Date 1 June 2019 (first published 30 May 2019)
- Publish Status Active
- Out of Print 9 February 2022
- Publish Country US
- Imprint American Mathematical Society
- Format Hardcover
- Pages 305
- Language English