Description
1 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.
Author: Paolo Baldi
Publisher: Springer
Published: 11/23/2017
Pages: 627
Binding Type: Paperback
Weight: 1.96lbs
Size: 9.21h x 6.14w x 1.30d
ISBN13: 9783319622255
ISBN10: 3319622250
BISAC Categories:
- Mathematics | Probability & Statistics | General
Author: Paolo Baldi
Publisher: Springer
Published: 11/23/2017
Pages: 627
Binding Type: Paperback
Weight: 1.96lbs
Size: 9.21h x 6.14w x 1.30d
ISBN13: 9783319622255
ISBN10: 3319622250
BISAC Categories:
- Mathematics | Probability & Statistics | General
About the Author
Paolo Baldi is professor at the Dipartimento di Matematica at the Università di Roma "Tor Vergata". He previously held positions at the universities of Catania and Pisa in Italy and also many visiting positions at the universities of Nanterre and Pierre et Marie Curie (Paris 6) in France. His research focuses on stochastic processes, in particular stochastic modeling on algebraic structures, large deviations and numerical applications.