<b>Book Review:</b> Stochastic Integral and Differential Equations in Mathematical Modelling
A short discussion on stochastic calculus is given under the assumption that the fundamentals of probability theory are known to readers. Some related basic details on probability theory should have been included to make the book more self-contained. Further, analytic solutions of some stochastic differential equations (SDEs), which are used in modeling real-life events, are given. However, author should have included well-posedness under the general assumptions and then should have either discussed these SDEs as a special case or provided an explanation for the necessity of dealing with such equations separately.
Authors
- Chaman Kumar (ORCID: https://orcid.org/0000-0003-4252-2897)
Institutions
- Indian Institute of Technology Roorkee (IN)
Publication Details
- Journal
- SIAM Review
- Published
- 2025-05-08
- DOI
- https://doi.org/10.1137/24m163548x
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00