Catalog Search Results
Series
Contemporary mathematics volume 260
Publisher
American Mathematical Society
Pub. Date
[2000]
Language
English
Author
Publisher
Cambridge University Press
Pub. Date
2012
Language
English
Description
"Stochastic calculus provides a powerful description of a specific class of stochastic processes in physics and finance. However, many econophysicists struggle to understand it. This book presents the subject simply and systematically, giving graduate students and practitioners a better understanding and enabling them to apply the methods in practice. The book develops Ito calculus and Fokker-Planck equations as parallel approaches to stochastic processes,...