From elementary probability to stochastic differential equations with MAPLE (Q5950744): Difference between revisions

This book covers a wide range of topics, divided into ten chapters, from elementary concepts of probability to numerical methods for stochastic ordinary differential equations (SODEs). The purpose of the book is, according to the preface, not to be a conventional mathematics textbook. It presents precise definitions and mathematical statements, but instead of proofs it uses MAPLE experiments and examples to provide some hands-on experience and support to develop intuitive understanding of the ideas considered. The aim of the book is to supplement conventional mathematical textbooks on probability theory and stochastics. The book serves its purpose very well. The software package MAPLE is introduced briefly at the beginning and then familiarity with it is developed in the course of the book. The text is interspersed with small MAPLE examples, each chapter ends with exercises, again experimental ones and theoretical ones. In the first chapter probability basics are recalled, the second chapter provides an introduction to measure and integration, in the third chapter random variables and distributions are discussed. Expectation, variance and other moments, as well as their computation, are presented in Chapter 4, and Chapter 5 provides a tour of important distributions. In Chapter 6 an introduction into the generation of pseudo-random numbers and into statistical testing are presented, the latter is then applied to analyse the statistical qualities of the former. Chapter 7 recalls some essentials from the theory of stochastic processes, in particular those which are required later for studying SODEs. In Chapters 8 and 9 stochastic calculus and stochastic differential equations are treated. The last chapter provides an introduction into the numerical analysis of SODEs.