Introduction to stochastic analysis. Integrals and differential equations

zbMATH Open1235.60001MaRDI QIDQ3100565FDOQ3100565

Authors: Vigirdas Mackevičius 

Publication date: 24 November 2011

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zbMATH Keywords

numerical solutionstochastic differential equationsBlack-Scholes formulastochastic integralsstochastic financial model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Actuarial science and mathematical finance (91Gxx) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01)

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