Stochastic calculus : an introduction through theory and exercises / Paolo Baldi.

Unlimited

Authorized users

Can lend chapters, not whole ebooks

Stochastic calculus : an introduction through theory and exercises / Paolo Baldi.

9783319622262 (electronic book)
3319622269 (electronic book)
9783319622255
3319622250

Cham, Switzerland : Springer, 2017.

English

1 online resource (xiv, 627 pages) : illustrations.

10.1007/978-3-319-62226-2 doi

QA274.2

519.2/2

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.-- Provided by publisher.

Includes bibliographical references and index.

Access limited to authorized users.

Online resource; title from PDF title page (SpringerLink, viewed November 13, 2017).

Universitext.

3319622250

Online Resources > Ebooks
All Resources