Introduction to stochastic calculus with applications / Fima C Klebaner.

By:

Klebaner, Fima C

Material type: Text

TextPublication details: London Imperial College Press, c1998.Description: xi, 321 p. : illustrations ; 23 cmISBN:

186094129X

Subject(s):

DDC classification:

23 K63 519.23

Contents:

1. Preliminaries -- 2. Concepts of probability theory -- 3. Basic stochastic processes -- 4. Brownian motion calculus -- 5. Stochastic differential equations -- 6. Diffusion processes -- 7. Martingales -- 8. Calculus for semimartingales -- 9. Pure jump processes -- 10. Change of probability measure -- 11. Applications in finance -- 12. Applications in biology -- 13. Applications in engineering and physics-- References.

Summary: An introduction to stochastic calculus, with some of its applications in mathematical finance, engineering and the sciences. Only a basic knowledge of calculus and probability is required, and exercises are provided at the end of chapters to help test the readers' understanding.

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Holdings
Item type	Current library	Call number	Status	Date due	Barcode	Item holds
Books	ISI Library, Kolkata	519.23 K63 (Browse shelf(Opens below))	Available		C26325

Total holds: 0

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Previous	519.23 K47 Stochastic processes with applications to finance	519.23 K47 Stochastic processes with applications to finance /	519.23 K61 Stochastic differential inclusions and applications /	519.23 K63 Introduction to stochastic calculus with applications /	519.23 K66 Numerical solution of stochastic differential equations	519.23 K66 Numerical solution of stochastic differential equations	519.23 K72 Empirical estimates in stochastic optimization and identification	Next

Includes bibliographical references and index.

1. Preliminaries --
2. Concepts of probability theory --
3. Basic stochastic processes --
4. Brownian motion calculus --
5. Stochastic differential equations --
6. Diffusion processes --
7. Martingales --
8. Calculus for semimartingales --
9. Pure jump processes --
10. Change of probability measure --
11. Applications in finance --
12. Applications in biology --
13. Applications in engineering and physics--

References.

An introduction to stochastic calculus, with some of its applications in mathematical finance, engineering and the sciences. Only a basic knowledge of calculus and probability is required, and exercises are provided at the end of chapters to help test the readers' understanding.

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