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007			cr |||||||||||
008			171109s2017 gw |||| o |||| 0|eng
010			_a 2019765404
020			_a9783319622255
024	7		_a10.1007/978-3-319-62226-2 _2doi
035			_a(DE-He213)978-3-319-62226-2
040			_aDLC _beng _epn _erda _cDLC
050			_aQA274. B17 2017
072		7	_aMAT029000 _2bisacsh
072		7	_aPBT _2bicssc
072		7	_aPBT _2thema
072		7	_aPBWL _2thema
082	0	4	_a519.2 _223
100	1		_aBaldi, Paolo, _eauthor.
245	1	0	_aStochastic Calculus : _bAn Introduction Through Theory and Exercises / _cby Paolo Baldi.
250			_a1st ed. 2017.
264		1	_aCham : _bSpringer International Publishing : _bImprint: Springer, _c2017.
300			_axiv, 627 pages _b27 illustrations, 2 illustrations in color.
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
347			_atext file _bPDF _2rda
490	1		_aUniversitext, _x0172-5939
505	0		_a1 Elements of probability -- 2 Stochastic processes -- 3 Brownian motion -- 4 Conditional probability -- 5 Martingales -- 6 Markov Processes -- 7 The stochastic integral -- 8 Stochastic calculus -- 9 Stochastic Differential Equations -- 10 PDE problems and diffusions -- 11 Simulation -- 12 Back to stochastic calculus -- 13 An application: finance -- Solutions of the exercises -- References -- Index.
520			_aThis book provides a comprehensive introduction to the theory of stochastic calculus and some of its applications. It is the only textbook on the subject to include more than two hundred exercises with complete solutions. After explaining the basic elements of probability, the author introduces more advanced topics such as Brownian motion, martingales and Markov processes. The core of the book covers stochastic calculus, including stochastic differential equations, the relationship to partial differential equations, numerical methods and simulation, as well as applications of stochastic processes to finance. The final chapter provides detailed solutions to all exercises, in some cases presenting various solution techniques together with a discussion of advantages and drawbacks of the methods used. Stochastic Calculus will be particularly useful to advanced undergraduate and graduate students wishing to acquire a solid understanding of the subject through the theory and exercises. Including full mathematical statements and rigorous proofs, this book is completely self-contained and suitable for lecture courses as well as self-study.
588			_aDescription based on publisher-supplied MARC data.
650		0	_aProbabilities.
650	1	4	_aProbability Theory and Stochastic Processes. _0https://scigraph.springernature.com/ontologies/product-market-codes/M27004
776	0	8	_iPrint version: _tStochastic calculus : an introduction through theory and exercises _z9783319622255 _w(DLC) 2017948389
776	0	8	_iPrinted edition: _z9783319622255
776	0	8	_iPrinted edition: _z9783319622279
830		0	_aUniversitext, _x0172-5939
906			_a0 _bibc _corigres _du _encip _f20 _gy-gencatlg
942			_2lcc _cBK