**Stochastic Calculus**

by Alan Bain

2008**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.

Download or read it online for free here:

**Download link**

(510KB, PDF)

## Similar books

**Lectures on Stochastic Flows and Applications**

by

**H. Kunita**-

**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)

**Stochastic Processes**

by

**Leif Mejlbro**-

**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)

**Lectures on Singular Stochastic PDEs**

by

**M. Gubinelli, N. Perkowski**-

**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)

**Synchronization and Linearity: An Algebra for Discrete Event Systems**

by

**F. Baccelli, G. Cohen, G. J. Olsder, J. Quadrat**-

**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)