This chapter provides an introduction to Brownian motion and stochastic integrals using linear fluid flows on finite state Markov chains. Many numerical examples are presented setting the stage for the development of algorithms for stochastic integration via the well-studied and easily understood fluid flow models driven by finite state Markov chains. © Springer Science+Business Media New York 2013.
CITATION STYLE
Ramaswami, V. (2013). A Fluid Introduction to Brownian Motion and Stochastic Integration. In Springer Proceedings in Mathematics and Statistics (Vol. 27, pp. 209–225). Springer New York LLC. https://doi.org/10.1007/978-1-4614-4909-6_10
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