Stochastic Calculus and Applications
Authors: Cohen, Samuel, Elliott, Robert J.
 Unique resource for rigorous study of stochastic integration theory, discontinuous processes, and many applications in filtering and control
 Useful for a wide range of researchers, practicioners, and students in mathematics, statistics, and engineering Updated and revised to approach topics with a modern perspective
 New edition includes end of chapter exercises, new chapters, reworked examples, and an extensive topical index
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 About this Textbook

Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance. Building upon the original release of this title, this text will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry.
New features of this edition include:
End of chapter exercises; New chapters on basic measure theory and Backward SDEs; Reworked proofs, examples and explanatory material; Increased focus on motivating the mathematics; Extensive topical index.
"Such a selfcontained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for firstyear graduate studies. It will be useful for all who intend to work with stochastic calculus as well as with its applications."–Zentralblatt (from review of the First Edition)
 About the authors

Samuel N. Cohen is an Associate Professor in the Mathematical Institute at the University of Oxford, an associate member of the OxfordMan Institute for Quantitative Finance and a member of the OxfordNie Financial Big Data Laboratory. He has a Ph.D. in Mathematics from the University of Adelaide, along with undergraduate degrees in Mathematics and Finance.
Robert Elliott received Bachelors and Masters degrees from Oxford University, and his Ph.D. and D.Sc. from the University of Cambridge. He has held positions at Newcastle, Yale, Oxford, Warwick, Hull, Alberta, Calgary and Adelaide, and visiting positions in Toronto, Northwestern, Kentucky, Brown, Paris, Denmark, Hong Kong and Australia. From 2001 to 2009 he was the RBC Financial Group Professor of Finance at the University of Calgary, Canada, where he was also an Adjunct Professor in both the Department of Mathematics and the Department of Electrical Engineering. From 2009 to 2013 he was an Australian Professorial Fellow at the University of Adelaide. Professor Elliott has authored nine books and over 450 papers.
 Reviews

“As supplementary reading for a second course or as s comprehensive (!) resource for the general theory of processes aimed at Ph. D. students and scholars, this second edition will stay a valuable resource.” (René L. Schilling, Mathematical Reviews, October, 2016)
“This is a fundamental book in modern stochastic calculus and its applications: rich contents, well structured material, comprehensive coverage of all significant results given with complete proofs and well illustrated by examples, carefully written text. Hence, there are more than enough reasons to strongly recommend the book to a wide audience. Among them, there are good and motivated graduate university students. … Also, the book is an excellent reference book.” (Jordan M. Stoyanov, zbMATH 1338.60001, 2016)
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Bibliographic Information
 Bibliographic Information

 Book Title
 Stochastic Calculus and Applications
 Authors

 Samuel Cohen
 Robert J. Elliott
 Series Title
 Probability and Its Applications
 Copyright
 2015
 Publisher
 Birkhäuser Basel
 Copyright Holder
 Springer Science+Business Media New York
 eBook ISBN
 9781493928675
 DOI
 10.1007/9781493928675
 Hardcover ISBN
 9781493928668
 Softcover ISBN
 9781493936816
 Series ISSN
 22970371
 Edition Number
 2
 Number of Pages
 XXIII, 666
 Additional Information
 Previously published with Springer, 1982. Springer series "Applications of Mathematics". New originator (Samuel N. Cohen) added for second edition.
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