Introduction to Stochastic Calculus with Applications
Language: en
Pages: 431
Authors: Fima C. Klebaner
Categories: Mathematics
Type: BOOK - Published: 2005 - Publisher: Imperial College Press

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This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of
Stochastic Calculus and Financial Applications
Language: en
Pages: 303
Authors: J. Michael Steele
Categories: Mathematics
Type: BOOK - Published: 2012-12-06 - Publisher: Springer Science & Business Media

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Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction
Brownian Motion and Stochastic Calculus
Language: en
Pages: 490
Authors: Ioannis Karatzas
Categories: Mathematics
Type: BOOK - Published: 2014-03-27 - Publisher: Springer

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A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing to explore stochastic processes in
Elementary Stochastic Calculus with Finance in View
Language: en
Pages: 230
Authors: Thomas Mikosch
Categories: Mathematics
Type: BOOK - Published: 1998 - Publisher: World Scientific

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Modelling with the Ito integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, ch
Brownian Motion, Martingales, and Stochastic Calculus
Language: en
Pages: 282
Authors: Jean-François Le Gall
Categories: Mathematics
Type: BOOK - Published: 2016-04-28 - Publisher: Springer

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This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimar