Samuel N. Cohen, Robert J. Elliott
Birkhäuser; 2nd Edition
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.
“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.