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Stochastic Calculus: An Introduction Through Theory and Exercises

Stochastic Calculus: An Introduction Through Theory and Exercises

Paperback

Series: Universitext

Probability & Statistics

ISBN10: 3319622250
ISBN13: 9783319622255
Publisher: Springer Nature
Published: Nov 23 2017
Pages: 627
Weight: 1.96
Height: 1.30 Width: 6.14 Depth: 9.21
Language: English
1 Elements of probability.- 2 Stochastic processes.- 3 Brownian motion.- 4 Conditional probability.- 5 Martingales.- 6 Markov Processes.- 7 The stochastic integral.- 8 Stochastic calculus.- 9 Stochastic Differential Equations.- 10 PDE problems and diffusions.- 11 Simulation.- 12 Back to stochastic calculus.- 13 An application: finance.- Solutions of the exercises.- References.- Index.

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Probability & Statistics