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Stochastic Calculus. An Introduction Through Theory and Exercises
An Introduction Through Theory and Exercises | Baldi, Paolo
Taschenbuch
2017 Springer International Publishing
Auflage: 01.10.2017 Auflage
XIV, 627 Seiten; XIV, 627 p. 27 illus., 2 illus. in color.; 23.5 cm x 15.5 cm
Sprache: English
ISBN: 978-3-319-62225-5
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Autorentext: Paolo Baldi is professor at the Dipartimento di Matematica at the Università di Roma "Tor Vergata". He previously held positions at the universities of Catania and Pisa in Italy and also many visiting positions at the universities of Nanterre and Pierre et Marie Curie (Paris 6) in France. His research focuses on stochastic processes, in particular stochastic modeling on algebraic structures, large deviations and numerical applications. Inhalt:
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.
Zusatztext: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.
- 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