Stochastic Calculus with Infinitesimals (Paperback, 2013 ed.)

Stochastic analysis is not only a thriving area of pure mathematics with intriguing connections to partial differential equations and differential geometry. It also has numerous applications in the natural and social sciences (for instance in financial mathematics or theoretical quantum mechanics) and therefore appears in physics and economics curricula as well. However, existing approaches to stochastic analysis either presuppose various concepts from measure theory and functional analysis or lack full mathematical rigour. This short book proposes to solve the dilemma: By adopting E. Nelson's "radically elementary" theory of continuous-time stochastic processes, it is based on a demonstrably consistent use of infinitesimals and thus permits a radically simplified, yet perfectly rigorous approach to stochastic calculus and its fascinating applications, some of which (notably the Black-Scholes theory of option pricing and the Feynman path integral) are also discussed in the book.

General

Imprint:	Springer-Verlag
Country of origin:	Germany
Series:	Lecture Notes in Mathematics, 2067
Release date:	November 2012
First published:	2013
Authors:	Frederik S. Herzberg
Dimensions:	235 x 155 x 9mm (L x W x T)
Format:	Paperback
Pages:	112
Edition:	2013 ed.
ISBN-13:	978-3-642-33148-0
Categories:	Books > Business & Economics > Economics > Economic theory & philosophy Books > Science & Mathematics > Mathematics > Probability & statistics Books > Science & Mathematics > Physics > General Books > Science & Mathematics > Mathematics > Mathematical foundations > General Books > Science & Mathematics > Mathematics > Optimization > Game theory Books > Science & Mathematics > Mathematics > Applied mathematics > General Promotions
LSN:	3-642-33148-3
Barcode:	9783642331480

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