Stochastic Calculus An Introduction Through Theory and Exercises
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...
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| Autor Corporativo: | |
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Cham :
Springer International Publishing : Imprint: Springer
2017.
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| Colección: | Universitext,
Springer eBooks. |
| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b36117286*spi |
Tabla de Contenidos:
- 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.
