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Stochastic Calculus with Infinitesimals

Stochastic Calculus with Infinitesimals

Paperback

Series: Lecture Notes in Mathematics, Book 2067

FictionGeneral MathematicsProbability & Statistics

ISBN10: 3642331483
ISBN13: 9783642331480
Publisher: Springer Nature
Published: Nov 7 2012
Pages: 112
Weight: 0.44
Height: 0.29 Width: 6.14 Depth: 9.21
Language: English
1 Infinitesimal calculus, consistently and accessibly.- 2 Radically elementary probability theory.- 3 Radically elementary stochastic integrals.- 4 The radically elementary Girsanov theorem and the diffusion invariance principle.- 5 Excursion to nancial economics: A radically elementary approach to the fundamental theorems of asset pricing.- 6 Excursion to financial engineering: Volatility invariance in the Black-Scholes model.- 7 A radically elementary theory of Itô diffusions and associated partial differential equations.- 8 Excursion to mathematical physics: A radically elementary definition of Feynman path integrals.- 9 A radically elementary theory of Lévy processes.- 10 Final remarks.

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