Stochastic calculus. An introduction through theory and exercises

DOI10.1007/978-3-319-62226-2zbMATH Open1382.60001OpenAlexW4253749331MaRDI QIDQ2012644FDOQ2012644

Authors: Yanyan Li 

Publication date: 2 August 2017

Published in: Universitext (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-62226-2

Recommendations

• Brownian motion, martingales, and stochastic calculus
• Brownian motion martingales and stochastic calculus
• scientific article; zbMATH DE number 2199827
• Introduction to stochastic calculus
• A first course in stochastic calculus

zbMATH Keywords

simulationmartingalesrandom variablesstochastic processesBrownian motionMarkov processesstochastic differential equationsBlack-Scholes modelprobability spacesconditional probabilitystochastic integrationpartial differential equations and diffusions

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Foundations of stochastic processes (60G05) Markov processes (60Jxx)

Cited In (58)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Introduction to stochastics. A companion book to the lecture
• Title not available (Why is that?)
• Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise
• A convergent finite volume scheme for the stochastic barotropic compressible Euler equations
• On the local linearization of the one-dimensional stochastic wave equation with a multiplicative space-time white noise forcing
• Dynamic programming principle for classical and singular stochastic control with discretionary stopping
• Title not available (Why is that?)
• Stochastic differential equations. An introduction with applications.
• Local densities for a class of degenerate diffusions
• Title not available (Why is that?)
• Incompressible Euler equations with stochastic forcing: a geometric approach
• The continuity equation in the Heisenberg-periodic case: a representation formula and an application to mean field games
• Brownian motion calculus
• Optimal Portfolio for the $\alpha$-Hypergeometric Stochastic Volatility Model
• Novel Girsanov correction based Milstein schemes for analysis of nonlinear multi-dimensional stochastic dynamical systems
• A class of fractional Ornstein-Uhlenbeck processes mixed with a Gamma distribution
• Well-posedness of renormalized solutions for a stochastic \(p\)-Laplace equation with \(L^1\)-initial data
• Brownian motion martingales and stochastic calculus
• Title not available (Why is that?)
• Large deviations for conditionally Gaussian processes: estimates of level crossing probability
• Title not available (Why is that?)
• Theory and applications of stochastic processes. An analytical approach
• Renormalized solutions for stochastic \(p\)-Laplace equations with \(L^1\)-initial data: the case of multiplicative noise
• Optimal investment, consumption and life insurance purchase with learning about return predictability
• Stochastik: Eine Einführung mit Grundzügen der Maßtheorie
• A convergent wavelet-based method for solving linear stochastic differential equations included 1D and 2D noise
• Log-Sobolev inequalities and hypercontractivity for Ornstein-Uhlenbeck evolution operators in infinite dimension
• Euler–Maruyama methods for Caputo tempered fractional stochastic differential equations
• Eigenvalues and eigenvectors of tau matrices with applications to Markov processes and economics
• A nearest neighbor characterization of Lebesgue points in metric measure spaces
• Introduction to stochastic integration.
• Stochastic calculus for finance.
• Introduction to stochastic calculus
• The impact of noise on Burgers equations
• Stochastic integration theory.
• Stochastic processes
• Stochastic analysis and diffusion processes
• Asymptotic of the running maximum distribution of a Gaussian Bridge
• Einstieg in die Stochastik
• Chernoff approximations of Feller semigroups in Riemannian manifolds
• One-side Liouville theorems under an exponential growth condition for Kolmogorov operators
• On a stochastic Camassa-Holm type equation with higher order nonlinearities
• On the optimally controlled stochastic shallow lake
• Title not available (Why is that?)
• Piecewise constant martingales and lazy clocks
• Stochastic MHD equations with fractional kinematic dissipation and partial magnetic diffusion in \(\mathbb{R}^2\)
• An averaged space-time discretization of the stochastic \(p\)-Laplace system
• A non-autonomous framework for climate change and extreme weather events increase in a stochastic energy balance model
• Diffusion processes and stochastic calculus
• Problems and solutions in mathematical finance. Volume I. Stochastic calculus
• Introduction to stochastic calculus and to the resolution of PDEs using Monte Carlo simulations
• Introduction to probability and stochastic processes with applications.
• Convergence of a finite-volume scheme for a heat equation with a multiplicative Lipschitz noise
• An introduction to stochastic dynamical systems. Paper from 27th Brazilian Mathematics colloquium -- 27\(\degree\) Colóquio Brasileiro de Matemática, Rio de Janeiro, Brazil, July 27--31, 2009
• Mean-field games of finite-fuel capacity expansion with singular controls
• Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk

This page was built for publication: Stochastic calculus. An introduction through theory and exercises

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2012644)