Stochastic Calculus An Introduction Through Theory and Exercises /

• Κύριος συγγραφέας: Baldi, Paolo (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2017.
• Σειρά: Universitext,
• Θέματα: Mathematics.; Probabilities.; Probability Theory and Stochastic Processes.

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...

Πίνακας περιεχομένων:

• 1 Elements of probability
• 2 Stochastic processes
• 3 Brownian motion
• 4 Conditional probability
• 5 Martingales
• 6 Markov Processes
• 7 The stochastic integral
• 8 Stochastic calculus
• 9 Stochastic Differential Equations
• 10 PDE problems and diffusions
• 11 Simulation
• 12 Back to stochastic calculus
• 13 An application: finance
• Solutions of the exercises
• References
• Index.