Logo

Stochastic Calculus by Alan Bain

Small book cover: Stochastic Calculus

Stochastic Calculus
by


Number of pages: 99

Description:
These notes provide a very informal introduction to Stochastic Calculus, and especially to the Ito integral and some of its applications. The text concentrates on the parts of the course which the author found hard, there is often little or no comment on more standard matters.

Home page url

Download or read it online for free here:
Download link
(510KB, PDF)

Similar books

Book cover: Lectures on Stochastic Flows and ApplicationsLectures on Stochastic Flows and Applications
by - Tata Institute Of Fundamental Research
The author presents basic properties of stochastic flows, specially of Brownian flows and their relations with local characteristics and with stochastic differential equations. Various limit theorems for stochastic flows are presented.
(4122 views)
Book cover: Stochastic ProcessesStochastic Processes
by - BookBoon
In this book you will find the basic stochastic processes mathematics that is needed by engineers and university students. Topics such as elementary probability calculus, density functions and stochastic processes are illustrated.
(4285 views)
Book cover: Lectures on Singular Stochastic PDEsLectures on Singular Stochastic PDEs
by - arXiv
The aim is to introduce the basic problems of non-linear PDEs with stochastic and irregular terms. We explain how it is possible to handle them using two main techniques: the notion of energy solutions and that of paracontrolled distributions.
(1368 views)
Book cover: Synchronization and Linearity: An Algebra for Discrete Event SystemsSynchronization and Linearity: An Algebra for Discrete Event Systems
by - John Wiley & Sons
Presents new modelling and analysis techniques for the description of discrete event dynamic systems. Created within the text is a calculus which allows the derivation of analytical tools for computing the time behavior of this type of system.
(6786 views)