Informal introduction to stochastic calculus with applications / Ovidiu Calin.
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TextPublication details: Singapore : World Scientific, ©2015.Description: xiv, 315 p. : illustrations ; 26 cmISBN: - 9789814689915 (pbk)
- Introduction to stochastic calculus with applications
- 519.23 23 C154
| Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
|---|---|---|---|---|---|---|---|
| Books | ISI Library, Kolkata | 519.23 C154 (Browse shelf(Opens below)) | Available | 137002 |
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| 519.23 C135 Linear stochastic systems | 519.23 C136 Sequential stochastic optimization | 519.23 C136 Sequential stochastic optimization | 519.23 C154 Informal introduction to stochastic calculus with applications / | 519.23 C235 Stochastic learning and optimization | 519.23 C236 Introduction to continuous-time stochastic processes | 519.23 C236 Introduction to continuous-time stochastic processes |
Includes bibliographical references and index.
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.
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.
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