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  3. Stochastic Calculus: An Introduction Through Theory and Exercises (Universitext) [Repost]

Stochastic Calculus: An Introduction Through Theory and Exercises (Universitext) [Repost]

Posted By: hill0
Date: 2 Mar 2018 07:40:34
Stochastic Calculus: An Introduction Through Theory and Exercises (Universitext) [Repost]

Stochastic Calculus: An Introduction Through Theory and Exercises (Universitext) by Paolo Baldi
English | 11 Dec. 2017 | ISBN: 3319622250 | 644 Pages | PDF/EPUB | 12.38 MB

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.
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