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Stochastic Calculus and Applications

  • Samuel N. Cohen
  • Robert J. Elliott

Part of the Probability and Its Applications book series (PA)

Table of contents

  1. Front Matter
    Pages i-xxiii
  2. Measure Theoretic Probability

    1. Front Matter
      Pages 1-1
    2. Samuel N. Cohen, Robert J. Elliott
      Pages 3-47
    3. Samuel N. Cohen, Robert J. Elliott
      Pages 49-69
  3. Stochastic Processes

    1. Front Matter
      Pages 71-71
    2. Samuel N. Cohen, Robert J. Elliott
      Pages 73-87
    3. Samuel N. Cohen, Robert J. Elliott
      Pages 89-107
    4. Samuel N. Cohen, Robert J. Elliott
      Pages 109-137
    5. Samuel N. Cohen, Robert J. Elliott
      Pages 139-151
    6. Samuel N. Cohen, Robert J. Elliott
      Pages 153-171
  4. Stochastic Integration

    1. Front Matter
      Pages 173-173
    2. Samuel N. Cohen, Robert J. Elliott
      Pages 175-197
    3. Samuel N. Cohen, Robert J. Elliott
      Pages 199-210
    4. Samuel N. Cohen, Robert J. Elliott
      Pages 211-232
    5. Samuel N. Cohen, Robert J. Elliott
      Pages 233-258
    6. Samuel N. Cohen, Robert J. Elliott
      Pages 259-292
    7. Samuel N. Cohen, Robert J. Elliott
      Pages 293-334
  5. Stochastic Differential Equations

    1. Front Matter
      Pages 335-335
    2. Samuel N. Cohen, Robert J. Elliott
      Pages 337-365
    3. Samuel N. Cohen, Robert J. Elliott
      Pages 367-396
    4. Samuel N. Cohen, Robert J. Elliott
      Pages 397-426
    5. Samuel N. Cohen, Robert J. Elliott
      Pages 427-450
    6. Samuel N. Cohen, Robert J. Elliott
      Pages 451-465
    7. Samuel N. Cohen, Robert J. Elliott
      Pages 467-493
  6. Applications

    1. Front Matter
      Pages 495-495
    2. Samuel N. Cohen, Robert J. Elliott
      Pages 497-516
    3. Samuel N. Cohen, Robert J. Elliott
      Pages 517-534
    4. Samuel N. Cohen, Robert J. Elliott
      Pages 535-566
  7. Back Matter
    Pages 567-666

About this book

Introduction

Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance. Building upon the original release of this title, this text will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry.

New features of this edition include:

End of chapter exercises; New chapters on basic measure theory and Backward SDEs; Reworked proofs, examples and explanatory material; Increased focus on motivating the mathematics; Extensive topical index.

"Such a self-contained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for first-year graduate studies. It will be useful for all who intend to work with stochastic calculus as well as with its applications."–Zentralblatt (from review of the First Edition)

Keywords

Discrete and Continuous Time Filtering Martingales Stochastic Control Stochastic Differential Equations Stochastic Processes

Authors and affiliations

  • Samuel N. Cohen
    • 1
  • Robert J. Elliott
    • 2
  1. 1.Mathematical InstituteUniversity of Oxford Mathematical InstituteOxfordUnited Kingdom
  2. 2.School of MathematicsUniversity of AdelaideAdelaideAustralia

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4939-2867-5
  • Copyright Information Springer Science+Business Media New York 2015
  • Publisher Name Birkhäuser, New York, NY
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-1-4939-2866-8
  • Online ISBN 978-1-4939-2867-5
  • Series Print ISSN 2297-0371
  • Series Online ISSN 2297-0398
  • Buy this book on publisher's site