An Informal Introduction to Stochastic Calculus with Applications

✍ Scribed by Ovidiu Calin

• Publisher: World Scientific Publishing
• Year: 2015
• Tongue: English
• Leaves: 331
• Category: Library

✦ Synopsis

The goal of this book is to present Stochastic Calculus at an introductory level and not at its maximum mathematical detail. The author aims to capture as much as possible the spirit of elementary deterministic Calculus, at which students have been already exposed. This assumes a presentation that mimics similar properties of deterministic Calculus, which facilitates understanding of more complicated topics of Stochastic Calculus.

Readership: Undergraduate and graduate students interested in stochastic processes.

✦ Table of Contents

1 A Few Introductory Problems
2 Basic Notions
3 Useful Stochastic Processes
4 Properties of Stochastic Processes
5 Stochastic Integration
6 Stochastic Differentiation
7 Stochastic Integration Techniques
8 Stochastic Differential Equations
9 Applications of Brownian Motion
10 Girsanov's Theorem and Brownian Motion
11 Some Applications of Stochastic Calculus
12 Hints and Solutions

✦ Subjects

Математика;Теория вероятностей и математическая статистика;Теория случайных процессов;