An informal introduction to stochastic calculus with applications

DOI10.1142/9620MaRDI QIDQ5262920zbMATH OpenOpenAlexFDO

Authors Ovidiu Calin

Publication date 10 July 2015

Full work available at URL https://doi.org/10.1142/9620

zbMATH Keywords

Brownian motionstochastic differential equationsstochastic calculus

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01)

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Cited in

(8)

• Exact and numerical solution of stochastic Burgers equations with variable coefficients
• Regularity of Wong-Zakai approximation for non-autonomous stochastic quasi-linear parabolic equation on \(\mathbb{R}^N\)
• Stochastic processes and calculus. An elementary introduction with applications
• Stochastic soliton solutions of conformable nonlinear stochastic systems processed with multiplicative noise
• A discontinuous Galerkin method for systems of stochastic differential equations with applications to population biology, finance, and physics
• An options-pricing approach to election prediction
• The basics of stochastic calculus. Lectures and corrected exercises
• Novel Girsanov correction based Milstein schemes for analysis of nonlinear multi-dimensional stochastic dynamical systems

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