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About this product
- DescriptionStochastic calculus provides a powerful description of a specific class of stochastic processes in physics and finance. However, many ecophysicists struggle to understand it. This book presents the subject simply and systematically, giving graduate students and practitioners a better understanding and enabling them to apply the methods in practice. The book develops Ito calculus and Fokker-Planck equations as parallel approaches to stochastic processes, using those methods in a unified way. The focus is on nstationary processes, and statistical ensembles are emphasized in time series analysis. Stochastic calculus is developed using general martingales. Scaling and fat tails are presented via diffusive models. Fractional Brownian motion is thoroughly analyzed and contrasted with Ito processes. The Chapman-Kolmogorov and Fokker-Planck equations are shown in theory and by example to be more general than a Markov process. The book also presents new ideas in financial ecomics and a critical survey of ecometrics.
- Author BiographyJoseph L. McCauley is Professor of Physics at the University of Houston. During his career he has contributed to several fields, including statistical physics, superfluids, nonlinear dynamics, cosmology, econophysics, economics and finance theory.
- Author(s)Joseph L. McCauley
- PublisherCambridge University Press
- Date of Publication21/02/2013
- Place of PublicationCambridge
- Country of PublicationUnited Kingdom
- ImprintCambridge University Press
- Content Note4 b/w illus.
- Weight550 g
- Width174 mm
- Height247 mm
- Spine14 mm
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