Introduction to Stochastic Calculus with Applications (inbunden)
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Format
Inbunden (Hardback)
Språk
Engelska
Antal sidor
250
Utgivningsdatum
2021-01-15
Förlag
CRC Press Inc
Antal komponenter
1
ISBN
9781466570801

Introduction to Stochastic Calculus with Applications

av Gregory F Lawler
Inbunden,  Engelska, 2021-01-15

Slutsåld

This text balances accessibility and rigor in teaching stochastic calculus to advanced undergraduate and graduate students in mathematics, economics, and finance. Avoiding the measure-theoretic formalism, the author presents the material in a natural order and keeps technical ideas to a minimum. Any technical material is covered in sections that are separate from the main text. Students are encouraged to write computer programs using C++, MATLAB (R), or Mathematica (R).

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Innehållsförteckning

Martingales in Discrete Time. Brownian Motion. Stochastic Integration. More Stochastic Calculus. Change of Measure and Girsanov Theorem. Jump Processes.

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