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An Informal Introduction to Stochastic Calculus with Applications

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The goal of this book is to present Stochastic Calculus at an introductory level and not at its maximum mathematical detail. The author aims to capture as much as possible the spirit of elementary deterministic Calculus, at which students have been already exposed. This assumes a presentation that mimics similar properties of deterministic Calculus, which facilitates understanding of more complicated topics of Stochastic Calculus.

Readership: Undergraduate and graduate students interested in stochastic processes.

Author(s): Ovidiu Calin
Publisher: World Scientific Publishing
Year: 2015

Language: English
Pages: xiv+316
Tags: Математика;Теория вероятностей и математическая статистика;Теория случайных процессов;

1 A Few Introductory Problems
2 Basic Notions
3 Useful Stochastic Processes
4 Properties of Stochastic Processes
5 Stochastic Integration
6 Stochastic Differentiation
7 Stochastic Integration Techniques
8 Stochastic Differential Equations
9 Applications of Brownian Motion
10 Girsanov's Theorem and Brownian Motion
11 Some Applications of Stochastic Calculus
12 Hints and Solutions