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Feldname	Details
Dewey Class	519.2
Titel	Stochastic Calculus ([EBook]) : An Introduction Through Theory and Exercises / / by Paolo Baldi.
Verfasser	Baldi, Paolo
Other name(s)	SpringerLink (Online service)
Veröffentl	Cham : : Springer International Publishing : : Imprint: Springer, , 2017.
Physical Details	XIV, 627 p. 27 illus., 2 illus. in color. : online resource.
Reihe	Universitext 0172-5939
ISBN	9783319622262
Summary Note	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.:
Contents note	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.
System details note	Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users)
Internet Site	http://dx.doi.org/10.1007/978-3-319-62226-2
LINKS ZU 'VERWANDTEN WERKEN	Schlagwörter: . Mathematics . Probabilities . Probability theory and stochastic processes . Authors: Baldi, Paolo . Corporate Authors: SpringerLink (Online service) . Series: Universitext . Classification: 519.2 .

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Stochastic Calculus: An Introduction Through Theory and Exercises /

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