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Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics
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Stochastic Calculus - An Introduction Through Theory and Exercises (Paperback, 1st ed. 2017)
Loot Price: R2,975
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Stochastic Calculus - An Introduction Through Theory and Exercises (Paperback, 1st ed. 2017)
Series: Universitext
Expected to ship within 12 - 17 working days
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Total price: R2,995
Discovery Miles: 29 950
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This book provides a comprehensive introduction to the theory of
stochastic calculus and some of its applications. It is the only
textbook on the subject to include more than two hundred exercises
with complete solutions. After explaining the basic elements of
probability, the author introduces more advanced topics such as
Brownian motion, martingales and Markov processes. The core of the
book covers stochastic calculus, including stochastic differential
equations, the relationship to partial differential equations,
numerical methods and simulation, as well as applications of
stochastic processes to finance. The final chapter provides
detailed solutions to all exercises, in some cases presenting
various solution techniques together with a discussion of
advantages and drawbacks of the methods used. Stochastic Calculus
will be particularly useful to advanced undergraduate and graduate
students wishing to acquire a solid understanding of the subject
through the theory and exercises. Including full mathematical
statements and rigorous proofs, this book is completely
self-contained and suitable for lecture courses as well as
self-study.
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