Stochastic calculus. An introduction through theory and exercises

DOI10.1007/978-3-319-62226-2zbMath1382.60001OpenAlexW4253749331MaRDI QIDQ2012644

Yanyan Li

Publication date: 2 August 2017

Published in: Universitext (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-62226-2

zbMATH Keywords

simulationBrownian motionmartingalesstochastic processesstochastic differential equationsMarkov processesrandom variablesconditional probabilityprobability spacesBlack-Scholes modelstochastic integrationpartial differential equations and diffusions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Foundations of stochastic processes (60G05) Markov processes (60Jxx)

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