Stochastic Calculus An Introduction Through Theory and Exercises /

• Main Author: Baldi, Paolo (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2017.
• Series: Universitext,
• Subjects: 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...

Table of Contents:

• 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.