Introduction to Stochastic Differential Equations with Applications to Modelling in Biology and Finance

DOI10.1002/9781119166092zbMath1425.60001MaRDI QIDQ4633953

Carlos A. dos Santos Braumann

Publication date: 6 May 2019

Full work available at URL: http://hdl.handle.net/10174/25627

zbMATH Keywords

stochastic processes; option pricing; stochastic differential equations; probability; Ornstein-Uhlenbeck process; stochastic integrals; Girsanov's theorem; geometric Brownian motion; Black-Scholes formula; Monte-Carlo simulation; Dynkin's and Feynman-Kac formulas; Itô and Stratonovich calculus; Wiener and diffusion processes

Mathematics Subject Classification ID

60-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory

91G80: Financial applications of other theories

92B05: General biology and biomathematics

60Hxx: Stochastic analysis