Introduction to Stochastic Calculus with Applications

Gregory F. Lawler (Autor)

Buch | Hardcover

250 Seiten

2021
Crc Press Inc (Verlag)
978-1-4665-7080-1 (ISBN)

Infos

This text balances accessibility and rigor in teaching stochastic calculus to advanced undergraduate and graduate students in mathematics, economics, and finance. Avoiding the measure-theoretic formalism, the author presents the material in a natural order and keeps technical ideas to a minimum. Any technical material is covered in sections that are separate from the main text. Students are encouraged to write computer programs using C++, MATLAB®, or Mathematica®.

Inhalt

Martingales in Discrete Time. Brownian Motion. Stochastic Integration. More Stochastic Calculus. Change of Measure and Girsanov Theorem. Jump Processes.

Produkt-Details

• Erscheint lt. Verlag: 22.1.2021
• Verlagsort: Bosa Roca
• Sprache: englisch
• Maße: 156 x 234 mm
• Themenwelt: Mathematik / Informatik ► Mathematik ► Analysis
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• ISBN-10: 1-4665-7080-6 / 1466570806
• ISBN-13: 978-1-4665-7080-1 / 9781466570801
• Zustand: Neuware