Introduction To Stochastic Calculus With Applications (Third Edition) (häftad)
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Format
Häftad (Paperback / softback)
Språk
Engelska
Utgivningsdatum
2012-03-22
Upplaga
3
Förlag
Imperial College Press
Dimensioner
226 x 152 x 23 mm
Vikt
658 g
ISBN
9781848168329

Introduction To Stochastic Calculus With Applications (Third Edition)

av Fima C Klebaner, Fima C Klebaner, Fima C Klebaner
Häftad,  Engelska, 2012-03-22
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This book presents a concise and rigorous treatment of stochastic calculus. It also gives its main applications in finance, biology and engineering. In finance, the stochastic calculus is applied to pricing options by no arbitrage. In biology, it is applied to populations' models, and in engineering it is applied to filter signal from noise. Not everything is proved, but enough proofs are given to make it a mathematically rigorous exposition.This book aims to present the theory of stochastic calculus and its applications to an audience which possesses only a basic knowledge of calculus and probability. It may be used as a textbook by graduate and advanced undergraduate students in stochastic processes, financial mathematics and engineering. It is also suitable for researchers to gain working knowledge of the subject. It contains many solved examples and exercises making it suitable for self study.In the book many of the concepts are introduced through worked-out examples, eventually leading to a complete, rigorous statement of the general result, and either a complete proof, a partial proof or a reference. Using such structure, the text will provide a mathematically literate reader with rapid introduction to the subject and its advanced applications. The book covers models in mathematical finance, biology and engineering. For mathematicians, this book can be used as a first text on stochastic calculus or as a companion to more rigorous texts by a way of examples and exercises.

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  • Introduction To Stochastic Calculus With Applications

    Introduction To Stochastic Calculus With Applications

    Fima C Klebaner, Fima C Klebaner

    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 advanced topics, it is useful for practitioners who use advanced theoretical results. ...

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    Problems And Solutions In Stochastic Calculus With Applications

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    Problems and Solutions in Stochastic Calculus with Applications exposes readers to simple ideas and proofs in stochastic calculus and its applications. It is intended as a companion to the successful original title Introduction to Stochastic Calcu...

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