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Universitext

Stochastic Calculus

An Introduction Through Theory and Exercises

Authors: Baldi, Paolo

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  • 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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eBook 67,82 €
price for Spain (gross)
  • ISBN 978-3-319-62226-2
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 83,19 €
price for Spain (gross)
  • ISBN 978-3-319-62225-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
About this Textbook

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

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.

Reviews

“This book is an excellent and quite complete course of stochastic calculus at the master's degree level. … The book includes plenty of exercises, all of them completely and extensively solved in the appendix. This aspect can be very useful for professors who plan to use the book for teaching. In summary, I find that this is an excellent and complete book on stochastic calculus for master's level students. I am going to use it in my future teaching activities.” (Josep Vives, Mathematical Reviews, November, 2018)


“The unique feature of this book is the vast amount of exercises and solutions (more than 200, according to the publisher), with detailed solutions — they are not just a one line hints. There are also many interesting detailed examples and discussions that elaborate on the theory. … In my opinion this is a great book for self-study, as the exercises and solutions are a goldmine.” (Peter Rabinovitch, MAA Reviews, May, 2018)

“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)

Table of contents (13 chapters)

Table of contents (13 chapters)

Buy this book

eBook 67,82 €
price for Spain (gross)
  • ISBN 978-3-319-62226-2
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 83,19 €
price for Spain (gross)
  • ISBN 978-3-319-62225-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
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Bibliographic Information

Bibliographic Information
Book Title
Stochastic Calculus
Book Subtitle
An Introduction Through Theory and Exercises
Authors
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
XIV, 627
Number of Illustrations
25 b/w illustrations, 2 illustrations in colour
Topics