Introduction to Stochastic Differential Equations with Applications to Modelling in Biology and Finance

DOI10.1002/9781119166092zbMath1425.60001OpenAlexW2944639779MaRDI QIDQ4633953

Carlos A. dos Santos Braumann

Publication date: 6 May 2019

Full work available at URL: http://hdl.handle.net/10174/25627

zbMATH Keywords

stochastic processesoption pricingstochastic differential equationsprobabilityOrnstein-Uhlenbeck processstochastic integralsGirsanov's theoremgeometric Brownian motionBlack-Scholes formulaMonte-Carlo simulationDynkin's and Feynman-Kac formulasItô and Stratonovich calculusWiener and diffusion processes

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Financial applications of other theories (91G80) General biology and biomathematics (92B05) Stochastic analysis (60Hxx)

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