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A Course of Stochastic Analysis

  • Textbook
  • © 2023


  • Presents methods & results of the contemporary stochastic analysis
  • Offers an exposition of complex results in contemporary theory, applications in financial & statistical models
  • Numerous topics are shown by more than one hundred examples & exercises with hints & solutions

Part of the book series: CMS/CAIMS Books in Mathematics (CMS/CAIMS BM, volume 6)

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About this book

The main subject of the book is stochastic analysis and its various applications to mathematical finance and statistics of random processes. The main purpose of the book is to present, in a short and sufficiently self-contained form, the methods and results of the contemporary theory of stochastic analysis and to show how these methods and results work in mathematical finance and statistics of random processes. The book can be considered as a textbook for both senior undergraduate and graduate courses on this subject. The book can be helpful for undergraduate and graduate students, instructors and specialists on stochastic analysis and its applications.

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Table of contents (12 chapters)

Authors and Affiliations

  • Department of Mathematical and Statistical Sciences, University of Alberta, Edmonton, Canada

    Alexander Melnikov

About the author

Alexander Melnikov is a Professor at the University of Alberta working in stochastic analysis and its applications in finance, statistics and insurance. He is the author of eight books and over one hundred papers in leading academic journals and venues. He is a Fellow of the Russian Academy of Natural Sciences, a recipient of the Leontiev medal of this academy and the McCalla Professorship of the University of Alberta. In addition to his academic engagements, he held several senior positions in business and professional organizations: Chief-Scientist at Risk-Invest Deutschland (Frankfurt), Vice-President of the Russian Society of Actuaries, Deputy Director at the Center for Actuarial and Financial Studies (Moscow), Senior Research Consultant at the Model Capital Management (Boston).

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