Paolo Baldi: Stochastic Calculus

Cover: 9783319622255 | Stochastic Calculus | An Introduction Through Theory and Exercises

Dekorationsartikel gehören nicht zum Leistungsumfang.

Sprache: Englisch

96,29 €*

inkl. MwSt.

Versandkostenfrei per Post / DHL

Aktuell nicht verfügbar

Kategorien:

Der Artikel ist nicht in deutscher Sprache verfasst.
Die Sprache der Produktbeschreibung und Details kann in Englisch angegeben sein. Sollten Sie Verständnisprobleme haben, wenden Sie sich gerne an uns.

Beschreibung

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.

Über den Autor

Paolo Baldi is professor at the Dipartimento di Matematica at the Università di Roma "Tor Vergata". He previously held positions at the universities of Catania and Pisa in Italy and also many visiting positions at the universities of Nanterre and Pierre et Marie Curie (Paris 6) in France. His research focuses on stochastic processes, in particular stochastic modeling on algebraic structures, large deviations and numerical applications.

Zusammenfassung

Provides a self-contained introduction to stochastic calculus

Includes applications and numerical methods

Features more than 200 exercises with detailed solutions

Inhaltsverzeichnis

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.

Erscheinungsjahr:	2017
Fachbereich:	Wahrscheinlichkeitstheorie
Genre:	Mathematik
Rubrik:	Naturwissenschaften & Technik
Medium:	Taschenbuch
Reihe:	Universitext
Inhalt:	xiv 627 S. 25 s/w Illustr. 2 farbige Illustr. 627 p. 27 illus. 2 illus. in color.
ISBN-13:	9783319622255
ISBN-10:	3319622250
Sprache:	Englisch
Herstellernummer:	978-3-319-62225-5
Ausstattung / Beilage:	Paperback
Einband:	Kartoniert / Broschiert
Autor:	Baldi, Paolo
Auflage:	1st ed. 2017
Hersteller:	Springer Nature Switzerland Springer International Publishing Springer International Publishing AG Universitext
Maße:	235 x 155 x 35 mm
Von/Mit:	Paolo Baldi
Erscheinungsdatum:	23.11.2017
Gewicht:	0,961 kg

Ähnliche Produkte