Applied Stochastic Analysis (Graduate Studies in Mathematics) (Graduate Studies in Mathematics, 199) by Weinan E. (PDF)

Description

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.

User’s Reviews

Editorial Reviews: Review This 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. –Peter Rabinovitch, MAA Reviews 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

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