確率解析入門・応用<br>Introduction to Stochastic Calculus with Applications

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確率解析入門・応用
Introduction to Stochastic Calculus with Applications

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  • 製本 Hardcover:ハードカバー版／ページ数 250 p.
  • 言語 ENG
  • 商品コード 9781466570801
  • DDC分類 519

Full Description


This text balances accessibility and rigor in teaching stochastic calculus to advanced undergraduate and graduate students in mathematics, economics, and finance. Avoiding the measure-theoretic formalism, the author presents the material in a natural order and keeps technical ideas to a minimum. Any technical material is covered in sections that are separate from the main text. Students are encouraged to write computer programs using C++, MATLAB (R), or Mathematica (R).

Contents

Martingales in Discrete Time. Brownian Motion. Stochastic Integration. More Stochastic Calculus. Change of Measure and Girsanov Theorem. Jump Processes.