Stochastic Calculus and Applications

• Main Authors: Cohen, Samuel N. (Author), Elliott, Robert J. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York : Imprint: Birkhäuser, 2015.
• Edition: 2nd ed. 2015.
• Series: Probability and Its Applications,
• Subjects: Mathematics.; Partial differential equations.; Economics, Mathematical.; Computer mathematics.; Probabilities.; Electrical engineering.; Probability Theory and Stochastic Processes.; Partial Differential Equations.; Electrical Engineering.; Computational Mathematics and Numerical Analysis.; Quantitative Finance.

Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those work...