Stochastic Calculus
An Introduction Through Theory and Exercises
Authors: Baldi, Paolo
- Provides a self-contained introduction to stochastic calculus
- Includes applications and numerical methods
- Features more than 200 exercises with detailed solutions
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- About this Textbook
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This book provides a comprehensive introduction to the theory of stochastic calculus and some of its applications. It is the only textbook on the subject to include more than two hundred exercises with complete solutions.
After explaining the basic elements of probability, the author introduces more advanced topics such as Brownian motion, martingales and Markov processes. The core of the book covers stochastic calculus, including stochastic differential equations, the relationship to partial differential equations, numerical methods and simulation, as well as applications of stochastic processes to finance. The final chapter provides detailed solutions to all exercises, in some cases presenting various solution techniques together with a discussion of advantages and drawbacks of the methods used.
Stochastic Calculus will be particularly useful to advanced undergraduate and graduate students wishing to acquire a solid understanding of the subject through the theory and exercises. Including full mathematical statements and rigorous proofs, this book is completely self-contained and suitable for lecture courses as well as self-study.
- About the authors
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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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Bibliographic Information
- Bibliographic Information
-
- Book Title
- Stochastic Calculus
- Book Subtitle
- An Introduction Through Theory and Exercises
- Authors
-
- Paolo Baldi
- Series Title
- Universitext
- Copyright
- 2017
- Publisher
- Springer International Publishing
- Copyright Holder
- Springer International Publishing AG
- eBook ISBN
- 978-3-319-62226-2
- DOI
- 10.1007/978-3-319-62226-2
- Softcover ISBN
- 978-3-319-62225-5
- Series ISSN
- 0172-5939
- Edition Number
- 1
- Number of Pages
- X, 540
- Number of Illustrations and Tables
- 25 b/w illustrations, 2 illustrations in colour
- Topics