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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.
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
| Erscheinungsjahr: | 2017 |
|---|---|
| Fachbereich: | Wahrscheinlichkeitstheorie |
| Genre: | Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Taschenbuch |
| Seiten: | 644 |
| Reihe: | Universitext |
| Inhalt: |
xiv
627 S. 25 s/w Illustr. 2 farbige Illustr. 627 p. 27 illus. 2 illus. in color. |
| ISBN-13: | 9783319622255 |
| ISBN-10: | 3319622250 |
| Sprache: | Englisch |
| Herstellernummer: | 978-3-319-62225-5 |
| Ausstattung / Beilage: | Paperback |
| Einband: | Kartoniert / Broschiert |
| Autor: | Baldi, Paolo |
| Auflage: | 1st ed. 2017 |
| Hersteller: |
Springer International Publishing
Universitext |
| Maße: | 235 x 155 x 35 mm |
| Von/Mit: | Paolo Baldi |
| Erscheinungsdatum: | 23.11.2017 |
| Gewicht: | 0,961 kg |
Provides a self-contained introduction to stochastic calculus
Includes applications and numerical methods
Features more than 200 exercises with detailed solutions
| Erscheinungsjahr: | 2017 |
|---|---|
| Fachbereich: | Wahrscheinlichkeitstheorie |
| Genre: | Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Taschenbuch |
| Seiten: | 644 |
| Reihe: | Universitext |
| Inhalt: |
xiv
627 S. 25 s/w Illustr. 2 farbige Illustr. 627 p. 27 illus. 2 illus. in color. |
| ISBN-13: | 9783319622255 |
| ISBN-10: | 3319622250 |
| Sprache: | Englisch |
| Herstellernummer: | 978-3-319-62225-5 |
| Ausstattung / Beilage: | Paperback |
| Einband: | Kartoniert / Broschiert |
| Autor: | Baldi, Paolo |
| Auflage: | 1st ed. 2017 |
| Hersteller: |
Springer International Publishing
Universitext |
| Maße: | 235 x 155 x 35 mm |
| Von/Mit: | Paolo Baldi |
| Erscheinungsdatum: | 23.11.2017 |
| Gewicht: | 0,961 kg |
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