Stochastic Calculus: An Introduction Through Theory and Exercises
Author:   Paolo Baldi
Publisher:   Springer International Publishing AG
Edition:   1st ed. 2017
ISBN:  

9783319622255


Pages:   627
Publication Date:   23 November 2017
Format:   Paperback
Availability:   Manufactured on demand   Availability explained
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Stochastic Calculus: An Introduction Through Theory and Exercises


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Author:   Paolo Baldi
Publisher:   Springer International Publishing AG
Imprint:   Springer International Publishing AG
Edition:   1st ed. 2017
Weight:   9.591kg
ISBN:  

9783319622255


ISBN 10:   3319622250
Pages:   627
Publication Date:   23 November 2017
Audience:   College/higher education ,  Undergraduate
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.

Table of Contents

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.

Reviews

The first goal is to make the reader familiar with the basic elements of stochastic processes, such as Brownian motion, martingales and Markov processes and then move in the direction of stochastic integration. ... The book is written in clear language and in good style and will be useful for everybody who is interested in stochastic calculus; it is suited for beginners, students, researchers, teachers and practitioners. (Yuliya S. Mishura, zbMATH 1382.60001, 2018)


Author Information

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.

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