Stochastic Calculus with Infinitesimals

Häftad, Engelska, 2012

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Stochastic analysis is not only a thriving area of pure mathematics with intriguing connections to partial differential equations and differential geometry.

Produktinformation

Utgivningsdatum2012-11-07
Mått155 x 235 x 9 mm
Vikt216 g
FormatHäftad
SpråkEngelska
SerieLecture Notes in Mathematics
Antal sidor112
Upplaga2013
FörlagSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN9783642331480

Tillhör följande kategorier

1 Infinitesimal calculus, consistently and accessibly.- 2 Radically elementary probability theory.- 3 Radically elementary stochastic integrals.- 4 The radically elementary Girsanov theorem and the diffusion invariance principle.- 5 Excursion to nancial economics: A radically elementary approach to the fundamental theorems of asset pricing.- 6 Excursion to financial engineering: Volatility invariance in the Black-Scholes model.- 7 A radically elementary theory of Itô diffusions and associated partial differential equations.- 8 Excursion to mathematical physics: A radically elementary definition of Feynman path integrals.- 9 A radically elementary theory of Lévy processes.- 10 Final remarks.