For people from other fields, it provides a way to gain a working knowledge of stochastic calculus. For mathematicians, this book could be a first text on stochastic calculus it is good companion to more advanced texts by a way of examples and exercises. It is also suitable for practitioners who wish to gain an understanding or working knowledge of the subject. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It covers advanced applications, such as models in mathematical finance, biology and engineering.Self-contained and unified in presentation, the book contains many solved examples and exercises. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. Mishura, zbMATH 1382.This book presents a concise treatment of stochastic calculus and its applications. The book is written in clear language and in good style and will be useful for everybody who is interested in stochastic calculus it is suited for beginners, students, researchers, teachers and practitioners.” (Yuliya S. “The first goal is to make the reader familiar with the basic elements of stochastic processes, such as Brownian motion, martingales and Markov processes and then move in the direction of stochastic integration. … In my opinion this is a great book for self-study, as the exercises and solutions are a goldmine.” (Peter Rabinovitch, MAA Reviews, May, 2018) There are also many interesting detailed examples and discussions that elaborate on the theory. “The unique feature of this book is the vast amount of exercises and solutions (more than 200, according to the publisher), with detailed solutions - they are not just a one line hints. I am going to use it in my future teaching activities.” (Josep Vives, Mathematical Reviews, November, 2018)
In summary, I find that this is an excellent and complete book on stochastic calculus for master's level students. This aspect can be very useful for professors who plan to use the book for teaching. … The book includes plenty of exercises, all of them completely and extensively solved in the appendix. “This book is an excellent and quite complete course of stochastic calculus at the master's degree level.
#INTRODUCTION TO STOCHASTIC CALCULUS WITH APPLICATION FULL#
Including full mathematical statements and rigorous proofs, this book is completely self-contained and suitable for lecture courses as well as self-study. Stochastic Calculus will be particularly useful to advanced undergraduate and graduate students wishing to acquire a solid understanding of the subject through the theory and exercises. The final chapter provides detailed solutions to all exercises, in some cases presenting various solution techniques together with a discussion of advantages and drawbacks of the methods used. The core of the book covers stochastic calculus, including stochastic differential equations, the relationship to partial differential equations, numerical methods and simulation, as well as applications of stochastic processes to finance. It is the only textbook on the subject to include more than two hundred exercises with complete solutions.Īfter explaining the basic elements of probability, the author introduces more advanced topics such as Brownian motion, martingales and Markov processes.
This book provides a comprehensive introduction to the theory of stochastic calculus and some of its applications.
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