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
Applied Stochastic Processes in Science and Engineeringby Matt Scott - University of Waterloo
This book is designed as an introduction to the ideas and methods used to formulate mathematical models of physical processes in terms of random functions. A senior undergraduate course offered to students with a suitably mathematical background.
(8170 views)
Lectures on Topics in Stochastic Differential Equationsby Daniel W. Stroock - Tata Institute of Fundamental Research
The author's purpose in these lectures was to provide some insight into the properties of solutions to stochastic differential equations. In order to read these notes, one need only know the basic Ito theory of stochastic integrals.
(9976 views)
Synchronization and Linearity: An Algebra for Discrete Event Systemsby 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.
(13943 views)
Stochastic Processesby 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.
(10244 views)