Stochastic Calculus and Applications (2nd Edition)

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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.

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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.

Additional information

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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