Stochastic Calculus, 1st ed. 2017 An Introduction Through Theory and Exercises Universitext Series
Auteur : Baldi Paolo
This book provides a comprehensive introduction to the theory of stochastic calculus and some of its applications. It is the only textbook on the subject to include more than two hundred exercises with complete solutions.
After explaining the basic elements of probability, the author introduces more advanced topics such as Brownian motion, martingales and Markov processes. The core of the book covers stochastic calculus, including stochastic differential equations, the relationship to partial differential equations, numerical methods and simulation, as well as applications of stochastic processes to finance. The final chapter provides detailed solutions to all exercises, in some cases presenting various solution techniques together with a discussion of advantages and drawbacks of the methods used.
Stochastic Calculus will be particularly useful to advanced undergraduate and graduate students wishing to acquire a solid understanding of the subject through the theory and exercises. Including full mathematical statements and rigorous proofs, this book is completely self-contained and suitable for lecture courses as well as self-study.
Provides a self-contained introduction to stochastic calculus
Includes applications and numerical methods
Features more than 200 exercises with detailed solutions
Date de parution : 11-2017
Ouvrage de 627 p.
15.5x23.5 cm
Thème de Stochastic Calculus :
Mots-clés :
stochastic calculus; stochastic calculus exercises; probability elements; stochastic processes; Brownian motion; Brownian motion exercises; conditional probability; martingales; martingales exercises; Markov processes; stochastic integral; stochastic differential equations; stochastic differential equations exercises; PDE problems; SDE approximation; stochastic differential equation approximation; stochastic calculus financial models; stochastic calculus finance; numerical simulation; 60H10; 60H05; 60H30; 60G42; 60G44