Stochastic Calculus : An Introduction Through Theory and Exercises

Baldi, Paolo

ISBN 10: 3319622250 / ISBN 13: 9783319622255

Published by Springer 2017-11, 2017

About this Item

Seller Inventory # 6666-IUK-9783319622255

Bibliographic Details

• Title: Stochastic Calculus : An Introduction Through Theory and Exercises
• Publisher: Springer 2017-11
• Publication Date: 2017
• Language: English
• ISBN 10: 3319622250
• ISBN 13: 9783319622255
• Binding: PF
• Condition: New

About this title

Synopsis

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.

About the Author

Paolo Baldi is professor at the Dipartimento di Matematica at the Universitą 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.