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Introduction to Stochastic Calculus (Repost)

Posted By: AvaxGenius
Introduction to Stochastic Calculus (Repost)

Introduction to Stochastic Calculus by Rajeeva L. Karandikar
English | PDF,EPUB | 2018 | 446 Pages | ISBN : 9811083177 | 43.84 MB

This book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance. The first book to introduce pathwise formulae for the stochastic integral, it provides a simple but rigorous treatment of the subject, including a range of advanced topics. The book discusses in-depth topics such as quadratic variation, Ito formula, and Emery topology.

Brownian Motion, Martingales, and Stochastic Calculus (Repost)

Posted By: AvaxGenius
Brownian Motion, Martingales, and Stochastic Calculus (Repost)

Brownian Motion, Martingales, and Stochastic Calculus by Jean-François Le Gall
English | EPUB | 2016 | 282 Pages | ISBN : 3319310887 | 4.21 MB

This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimartingales. The main tools of stochastic calculus, including Itô’s formula, the optional stopping theorem and Girsanov’s theorem, are treated in detail alongside many illustrative examples. The book also contains an introduction to Markov processes, with applications to solutions of stochastic differential equations and to connections between Brownian motion and partial differential equations. The theory of local times of semimartingales is discussed in the last chapter.