**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

**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.

(

**13447**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.

(

**6312**views)

**Introduction to Stochastic Processes**

by

**Gordan Žitković**-

**The University of Texas at Austin**

Contents: Probability review; Mathematica in 15 minutes; Stochastic Processes; Simple random walk; Generating functions; Random walks - advanced methods; Branching processes; Markov Chains; The 'Stochastics' package; Classification of States; etc.

(

**7586**views)

**Probability Theory and Stochastic Processes with Applications**

by

**Oliver Knill**-

**Overseas Press**

This text covers material of a basic probability course, discrete stochastic processes including Martingale theory, continuous time stochastic processes like Brownian motion and stochastic differential equations, estimation theory, and more.

(

**11813**views)