【随机微积分】 An Informal Introduction to Stochastic Calculus with Applications

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An Informal Introduction to Stochastic Calculus with Applications

By (author): Ovidiu Calin



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.

Contents:
• A Few Introductory Problems
• Basic Notions
• Useful Stochastic Processes
• Properties of Stochastic Processes
• Stochastic Integration
• Stochastic Differentiation
• Stochastic Integration Techniques
• Stochastic Differential Equations
• Applications of Brownian Motion
• Girsanov's Theorem and Brownian Motion
• Some Applications of Stochastic Calculus
• Hints and Solutions

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关键词：introduction Applications Application Stochastic troduction possible already present similar spirit

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An Informal Introduction to Stochastic Calculus with Applications

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Informal Introduction to Stochastic Calculus