<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.

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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
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article

Book Review: Stochastic Integral and Differential Equations in Mathematical Modelling

Chaman Kumar
SIAM Review
Stochastic processes and financial applications
article

Book Review: Stochastic Integral and Differential Equations in Mathematical Modelling

Chaman Kumar
article en

Abstract

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.

SIAM ReviewVol. 67(2)
Indian Institute of Technology Roorkee (IN)
Openalex Percentile: Top 87%
Stochastic processes and financial applications
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