Stochastic Calculus with Infinitesimals - Couverture souple

Herzberg, Frederik S.

 
9783642331480: Stochastic Calculus with Infinitesimals
Couverture souple
ISBN 10 : 3642331483 ISBN 13 : 9783642331480
Editeur : Springer, 2012

Synopsis

Stochastic analysis is not only a thriving area of pure mathematics with intriguing connections to partial differential equations and differential geometry. It also has numerous applications in the natural and social sciences (for instance in financial mathematics or theoretical quantum mechanics) and therefore appears in physics and economics curricula as well. However, existing approaches to stochastic analysis either presuppose various concepts from measure theory and functional analysis or lack full mathematical rigour. This short book proposes to solve the dilemma: By adopting E. Nelson's "radically elementary" theory of continuous-time stochastic processes, it is based on a demonstrably consistent use of infinitesimals and thus permits a radically simplified, yet perfectly rigorous approach to stochastic calculus and its fascinating applications, some of which (notably the Black-Scholes theory of option pricing and the Feynman path integral) are also discussed in the book.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

Stochastic analysis is not only a thriving area of pure mathematics with intriguing connections to partial differential equations and differential geometry. It also has numerous applications in the natural and social sciences (for instance in financial mathematics or theoretical quantum mechanics) and therefore appears in physics and economics curricula as well. However, existing approaches to stochastic analysis either presuppose various concepts from measure theory and functional analysis or lack full mathematical rigour. This short book proposes to solve the dilemma: By adopting E. Nelson's "radically elementary" theory of continuous-time stochastic processes, it is based on a demonstrably consistent use of infinitesimals and thus permits a radically simplified, yet perfectly rigorous approach to stochastic calculus and its fascinating applications, some of which (notably the Black-Scholes theory of option pricing and the Feynman path integral) are also discussed in the book.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Springer
Date d'édition
2012
Langue
anglais
ISBN 10 
3642331483
ISBN 13 
9783642331480
Reliure
Broché
Nombre de pages
132
Coordonnées du fabricant
ProductSafety@springernature.com
ProductSafety@springernature.com

Poststr. 9
Darmstadt
64293
Allemagne

Autres éditions populaires du même titre

9783642331503: Stochastic Calculus with Infinitesimals

Edition présentée

ISBN 10 :  3642331505 ISBN 13 :  9783642331503
Editeur : Springer, 2012
Couverture souple