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Stochastic Calculus and Applications (2nd Edition)

Download Stochastic Calculus and Applications (2nd Edition) written by Samuel N. Cohen, Robert J. Elliott in PDF format. This book is under the category Calculus and bearing the isbn/isbn13 number 149392866X; 1493936816/9781493928668/ 9781493936816. You may reffer the table below for additional details of the book.

$19.99

Specifications

book-author

Samuel N. Cohen, Robert J. Elliott

publisher

Birkhäuser; 2nd Edition

file-type

PDF

pages

666 pages

language

English

asin

B01875OT56

isbn10

149392866X; 1493936816

isbn13

9781493928668/ 9781493936816


Book Description

Completely reviewed and significantly expanded; Stochastic Calculus and Applications; 2nd Edition; (PDF) takes readers who have been exposed to only fundamental courses in analysis through the modern general theory of random processes and stochastic integrals as used by electronic engineers; systems theorists and; more recently; those working in mathematical and quantitative finance. Building upon the unique release of this title; this ebook will be of great interest to graduate students and research mathematicians working in those fields; in addition to quants in the finance industry.

New features of this second edition include:

New chapters on basic measure theory; end of chapter exercises and Backward SDEs; Reworked proofs; examples; and explanatory material; Increased emphasis on motivating the mathematics; Extensive topical index.

Review

This is a fundamental ebook in modern stochastic calculus and its applications: rich contents; well-structured material; comprehensive coverage of all important results given with complete proofs and well illustrated by examples; carefully written text. Therefore; there are more than adequate reasons to strongly recommend the ebook to a wide audience. Among them; there are motivated and good graduate university students. Also; the ebook is an excellent reference book.” — Jordan M. Stoyanov; zbMATH 1338.60001; 2016

Such a complete and self-contained exposition of stochastic calculus and applications fills an existing gap in the literature. The ebook can be recommended for first-year graduate studies. It will be useful for all who aimed to work with stochastic calculus as well as with its applications.” — Zentralblatt

NOTE: The product only includes the ebook; Stochastic Calculus and Applications; 2nd Edition in PDF. No access codes are included.

book-author

Samuel N. Cohen, Robert J. Elliott

publisher

Birkhäuser; 2nd Edition

file-type

PDF

pages

666 pages

language

English

asin

B01875OT56

isbn10

149392866X; 1493936816

isbn13

9781493928668/ 9781493936816

Table of contents


Table of contents :
Front Matter….Pages i-xxiii
Front Matter….Pages 1-1
Measure and Integral….Pages 3-47
Probabilities and Expectation….Pages 49-69
Front Matter….Pages 71-71
Filtrations, Stopping Times and Stochastic Processes….Pages 73-87
Martingales in Discrete Time….Pages 89-107
Martingales in Continuous Time….Pages 109-137
The Classification of Stopping Times….Pages 139-151
The Progressive, Optional and Predictable σ-Algebras….Pages 153-171
Front Matter….Pages 173-173
Processes of Finite Variation….Pages 175-197
The Doob–Meyer Decomposition….Pages 199-210
The Structure of Square Integrable Martingales….Pages 211-232
Quadratic Variation and Semimartingales….Pages 233-258
The Stochastic Integral….Pages 259-292
Random Measures….Pages 293-334
Front Matter….Pages 335-335
Itô’s Differential Rule….Pages 337-365
The Exponential Formula and Girsanov’s Theorem….Pages 367-396
Lipschitz Stochastic Differential Equations….Pages 397-426
Markov Properties of SDEs….Pages 427-450
Weak Solutions of SDEs….Pages 451-465
Backward Stochastic Differential Equations….Pages 467-493
Front Matter….Pages 495-495
Control of a Single Jump….Pages 497-516
Front Matter….Pages 495-495
Optimal Control of Drifts and Jump Rates….Pages 517-534
Filtering….Pages 535-566
Back Matter….Pages 567-666

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