Stochastic Calculus by Paolo Baldi

Stochastic Calculus by Paolo Baldi

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.

“This book is an excellent and quite complete course of stochastic calculus at the master's degree level… The book includes plenty of exercises, all of them completely and extensively solved in the appendix. This aspect can be very useful for professors who plan to use the book for teaching. In summary, I find that this is an excellent and complete book on stochastic calculus for master's level students. I am going to use it in my future teaching activities.” (Josep Vives, Mathematical Reviews, November, 2018)

“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. There are also many interesting detailed examples and discussions that elaborate on the theory. … 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)

“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. ... 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. Mishura, zbMATH 1382.60001, 2018)

Paolo Baldi is professor at the Dipartimento di Matematica at the Universitü¾Œ†”¼ di Roma Tor Vergata. He previously held positions at the universities of Catania and Pisa in Italy and also many visiting positions at the universities of Nanterre and Pierre et Marie Curie (Paris 6) in France. His research focuses on stochastic processes, in particular stochastic modeling on algebraic structures, large deviations and numerical applications.

SKU	Unavailable
ISBN 13	9783319622255
ISBN 10	3319622250
Title	Stochastic Calculus
Author	Paolo Baldi
Series	Universitext
Condition	Unavailable
Binding Type	Paperback
Publisher	Springer International Publishing AG
Year published	2017-11-23
Number of pages	627
Cover note	Book picture is for illustrative purposes only, actual binding, cover or edition may vary.