Stochastic Calculus An Introduction Through Theory And Exercises at Meripustak

Stochastic Calculus An Introduction Through Theory And Exercises

Books from same Author: BALDI P

Books from same Publisher: SPRINGER

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  • General Information  
    Author(s)BALDI P
    PublisherSPRINGER
    ISBN9783319622255
    Pages627
    BindingSoftbound
    LanguageEnglish
    Publish YearNovember 2017

    Description

    SPRINGER Stochastic Calculus An Introduction Through Theory And Exercises by BALDI P

    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.