Stochastic Calculus

aw_product_id: 
34152213031
merchant_image_url: 
https://cdn.waterstones.com/bookjackets/large/9783/3196/9783319622255.jpg
merchant_category: 
Books
search_price: 
79.99
book_author_name: 
Paolo Baldi
book_type: 
Paperback
publisher: 
Springer International Publishing AG
published_date: 
23/11/2017
isbn: 
9783319622255
Merchant Product Cat path: 
Books > Science, Technology & Medicine > Mathematics & science > Mathematics > Applied mathematics
specifications: 
Paolo Baldi|Paperback|Springer International Publishing AG|23/11/2017
Merchant Product Id: 
9783319622255
Book Description: 
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.

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