Probability theory II. Stochastic calculus. Translated from the Italian

DOI10.1007/978-3-031-63193-1MaRDI QIDQ6633017zbMATH OpenFDO

Authors Andrea Pascucci

Publication date 5 November 2024

Published in Unitext (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-031-63193-1

Mathematics Subject Classification ID

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

Recommendations

• Stochastic calculus. An introduction through theory and exercises
• Brownian motion, martingales, and stochastic calculus
• Brownian motion martingales and stochastic calculus
• Introduction to stochastic calculus
• Stochastic integration theory.

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(4)

• An advanced course in probability and stochastic processes
• Modelling, mathematical analysis and computation of the total value adjustment including KVA and multi-currency
• McKean-Vlasov stochastic equations with Hölder coefficients
• Existence and uniqueness results for strongly degenerate McKean-Vlasov equations with rough coefficients

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