Stochastic Calculus and Applications (2nd Edition)

Specifications

Book Description

The modern general theory of random processes and stochastic integrals is utilized by electronic engineers, systems theorists, and more recently, those working in mathematical and quantitative finance. This completely revised and significantly expanded second edition of Stochastic Calculus and Applications (PDF) takes readers who have only been exposed to fundamental courses in analysis through the modern general theory of random processes and stochastic integrals. Building upon the first publication of this title, this ebook will be of great interest to graduate students, research mathematicians working in those subjects, quants working in the finance business, and other related professionals.

The following are some of the new features included in this second edition:

New chapters on fundamental measure theory, together with exercises at the chapter's end and backward stochastic differential equations reworked proofs, examples, and additional material for explanation; a heightened emphasis on the importance of being motivated by mathematics; Comprehensive index of subjects covered.

Review

“This is a fundamental ebook in modern stochastic calculus and its applications: rich contents; well-structured material; comprehensive coverage of all important results given with complete proofs and well illustrated by examples; carefully written text.” “This is a fundamental ebook in modern stochastic calculus and its applications: rich contents; well-structured material; comprehensive coverage of all important results given with complete proofs As a result, there are numerous arguments that are more than sufficient to recommend the ebook to a large number of people. There are highly-motivated and capable graduate school students counted among them. Additionally, the e-book makes for a fantastic research tool.” — Jordan M. Stoyanov; zbMATH 1338.60001; 2016

“Such a comprehensive and self-contained presentation of stochastic calculus and applications addresses an existing need in the literature,” the author explains. The e-book is a good resource for students in their first year of graduate school. It will be helpful for anyone who intended to deal with stochastic calculus as well as any applications of it. — Zentralblatt

PLEASE TAKE NOTE That the only thing that is included in the purchase is the PDF version of the ebook “Stochastic Calculus and Applications, 2nd Edition.” There are no access codes contained within.