Stochastic Calculus and Applications

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 work... Ausführliche Beschreibung

1. Person: Cohen, Samuel N.
Weitere Körperschaften: SpringerLink (Online service)
Weitere Personen: Elliott, Robert J. [author]
Format: E-Buch
Sprache: English
Veröffentlicht: New York, NY Springer New York 2015, 2015
Beschreibung: XXIII, 666 p. 17 illus online resource
Ausgabe: 2nd ed. 2015
Serien: Probability and Its Applications
Schlagworte: Probability Theory and Stochastic Processes
Electrical engineering
Computational Mathematics and Numerical Analysis
Partial Differential Equations
Computer mathematics
Economics, Mathematical
Electrical Engineering
Partial differential equations
Quantitative Finance
Mathematics
Probabilities
Online Zugang: Volltext
Volltext
Tags: Hinzufügen
Keine Tags. Fügen Sie den ersten Tag hinzu!
Zusammenfassung: 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 self-contained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for first-year 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)
ISBN: 9781493928675

Ähnliche Einträge

Keine ähnlichen Titel gefunden

Privacy Notice Ask a Librarian New Acquisitions