Stochastic Calculus And Applications (probability And Its Applications)
by Robert J. Elliott /
2015 / English / PDF
7.6 MB Download
Completely revised and greatly expanded, the new edition of this
text takes readers who have been exposed to only basic courses in
analysis through the modern general theory of random processes
and stochastic integrals as used by systems theorists, electronic
engineers and, more recently, those working in quantitative and
mathematical finance. Building upon the original release of this
title, this text will be of great interest to research
mathematicians and graduate students working in those fields, as
well as quants in the finance industry.
Completely revised and greatly expanded, the new edition of this
text takes readers who have been exposed to only basic courses in
analysis through the modern general theory of random processes
and stochastic integrals as used by systems theorists, electronic
engineers and, more recently, those working in quantitative and
mathematical finance. Building upon the original release of this
title, this text will be of great interest to research
mathematicians and graduate students working in those fields, as
well as quants in the finance industry.
New features of this edition include:
New features of this edition include:
End of chapter exercises; New chapters on basic measure theory
and Backward SDEs; Reworked proofs, examples and explanatory
material; Increased focus on motivating the mathematics;
Extensive topical index.
End of chapter exercises; New chapters on basic measure theory
and Backward SDEs; Reworked proofs, examples and explanatory
material; Increased focus on motivating the mathematics;
Extensive topical index.
"Such a self-contained and complete exposition of stochastic
calculus and applications fills an existing gap in the
literature. The book can be recommended for first-year graduate
studies. It will be useful for all who intend to work with
stochastic calculus as well as with its
applications."–Zentralblatt (from review of the First Edition)
"Such a self-contained and complete exposition of stochastic
calculus and applications fills an existing gap in the
literature. The book can be recommended for first-year graduate
studies. It will be useful for all who intend to work with
stochastic calculus as well as with its
applications."–Zentralblatt (from review of the First Edition)
