Stochastic Calculus: An Introduction Through Theory and Exercises - Couverture souple

Baldi, Paolo

Couverture souple

ISBN 10 : 3319622250 ISBN 13 : 9783319622255

Editeur : Springer International Publishing AG, 2017

Synopsis

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.

A propos du livre

À propos de l?auteur

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.

Détails de l'édition

• Éditeur: Springer International Publishing AG
• Date d'édition: 2017
• Langue: anglais
• ISBN 10: 3319622250
• ISBN 13: 9783319622255
• Reliure: Broché
• Numéro d'édition: 1
• Nombre de pages: 641
• Coordonnées du fabricant: ProductSafety@springernature.com; ProductSafety@springernature.com; ; Poststr. 9; Darmstadt; 64293; Allemagne