Stochastic calculus. An introduction through theory and exercises
simulationmartingalesrandom variablesstochastic processesBrownian motionMarkov processesstochastic differential equationsBlack-Scholes modelprobability spacesconditional probabilitystochastic integrationpartial differential equations and diffusions
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)
- Euler–Maruyama methods for Caputo tempered fractional stochastic differential equations
- One-side Liouville theorems under an exponential growth condition for Kolmogorov operators
- On the optimally controlled stochastic shallow lake
- Probability theory II. Stochastic calculus. Translated from the Italian
- A non-autonomous framework for climate change and extreme weather events increase in a stochastic energy balance model
- The continuity equation in the Heisenberg-periodic case: a representation formula and an application to mean field games
- Brownian motion, martingales, and stochastic calculus
- Stochastic MHD equations with fractional kinematic dissipation and partial magnetic diffusion in \(\mathbb{R}^2\)
- Log-Sobolev inequalities and hypercontractivity for Ornstein-Uhlenbeck evolution operators in infinite dimension
- Diffusion processes and stochastic calculus
- Eigenvalues and eigenvectors of tau matrices with applications to Markov processes and economics
- A nearest neighbor characterization of Lebesgue points in metric measure spaces
- Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise
- Introduction to probability and stochastic processes with applications.
- On a stochastic Camassa-Holm type equation with higher order nonlinearities
- Optional processes. Theory and applications
- Chernoff approximations of Feller semigroups in Riemannian manifolds
- Convergence of a finite-volume scheme for a heat equation with a multiplicative Lipschitz noise
- scientific article; zbMATH DE number 6521869 (Why is no real title available?)
- Stochastic processes and calculus. An elementary introduction with applications
- A first course in stochastic calculus
- Well-posedness of renormalized solutions for a stochastic \(p\)-Laplace equation with \(L^1\)-initial data
- A convergent finite volume scheme for the stochastic barotropic compressible Euler equations
- Theory and applications of stochastic processes. An analytical approach
- A class of fractional Ornstein-Uhlenbeck processes mixed with a Gamma distribution
- scientific article; zbMATH DE number 4020069 (Why is no real title available?)
- Introduction to stochastic calculus
- Einstieg in die Stochastik
- Introduction to stochastics. A companion book to the lecture
- Renormalized solutions for stochastic \(p\)-Laplace equations with \(L^1\)-initial data: the case of multiplicative noise
- Asymptotic of the running maximum distribution of a Gaussian Bridge
- Stochastic differential equations. An introduction with applications.
- On the local linearization of the one-dimensional stochastic wave equation with a multiplicative space-time white noise forcing
- Brownian motion calculus
- scientific article; zbMATH DE number 2199827 (Why is no real title available?)
- Elements of stochastic calculus and analysis
- The basics of stochastic calculus. Lectures and corrected exercises
- Stochastic analysis
- Dynamic programming principle for classical and singular stochastic control with discretionary stopping
- Introduction to stochastic calculus and to the resolution of PDEs using Monte Carlo simulations
- Brownian motion martingales and stochastic calculus
- A Course of Stochastic Analysis
- The impact of noise on Burgers equations
- Local densities for a class of degenerate diffusions
- Introduction to stochastic integration.
- scientific article; zbMATH DE number 5946386 (Why is no real title available?)
- scientific article; zbMATH DE number 4072055 (Why is no real title available?)
- scientific article; zbMATH DE number 1547390 (Why is no real title available?)
- Optimal portfolio for the \(\alpha\)-hypergeometric stochastic volatility model
- Large deviations for conditionally Gaussian processes: estimates of level crossing probability
- Stochastic processes
- An informal introduction to stochastic calculus with applications
- Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
- Stochastic integration theory.
- Stochastic analysis and diffusion processes
- scientific article; zbMATH DE number 4076207 (Why is no real title available?)
- 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
- Stochastic calculus for finance.
- An averaged space-time discretization of the stochastic \(p\)-Laplace system
- Problems and solutions in mathematical finance. Volume I. Stochastic calculus
- Incompressible Euler equations with stochastic forcing: a geometric approach
- scientific article; zbMATH DE number 193746 (Why is no real title available?)
- Novel Girsanov correction based Milstein schemes for analysis of nonlinear multi-dimensional stochastic dynamical systems
- Optimal investment, consumption and life insurance purchase with learning about return predictability
- Mean-field games of finite-fuel capacity expansion with singular controls
- Stochastik: Eine Einführung mit Grundzügen der Maßtheorie
- Piecewise constant martingales and lazy clocks
- A convergent wavelet-based method for solving linear stochastic differential equations included 1D and 2D noise
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)