2018年随机微积分介绍

English | PDF,EPUB | 2018 | 446 Pages | ISBN : 9811083177 | 43.84 MB

This book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance. The first book to introduce pathwise formulae for the stochastic integral, it provides a simple but rigorous treatment of the subject, including a range of advanced topics. The book discusses in-depth topics such as quadratic variation, Ito formula, and Emery topology. The authors briefly address continuous semi-martingales to obtain growth estimates and study solution of a stochastic differential equation (SDE) by using the technique of random time change. Later, by using Metivier–Pellaumail inequality, the solutions to SDEs driven by general semi-martingales are discussed. The connection of the theory with mathematical finance is briefly discussed and the book has extensive treatment on the representation of martingales as stochastic integrals and a second fundamental theorem of asset pricing. Intended for undergraduate- and beginning graduate-level students in the engineering and mathematics disciplines, the book is also an excellent reference resource for applied mathematicians and statisticians looking for a review of the topic.

这本书为随机微积分这一分支的数学，它在金融工程和数理金融中被广泛应用于提供了新的视角。它是第一本介绍路径无关公式随机积分的书，提供了一种简单而严格的处理方法，包括一系列高级主题的内容。本书深入讨论了诸如二次变差、伊藤公式以及埃默里拓扑等话题。作者简要地讨论连续半鞅以得到增长估计，并通过随机时间改变技术研究一维随机微分方程（SDE）的解。随后，使用米特维叶–佩拉乌尔马不等式来讨论由一般半鞅驱动的SDE的解。理论与数学金融学之间的联系被简要地讨论，并且本书对鞅作为随机积分的表示以及资产定价的第二个基本定理提供了广泛的处理。这本书旨在为工程和数学领域中的本科及初年级研究生学生提供参考资源，同时也是应用数学家和统计学家需要回顾该主题时的理想参考资料。

---

Download from free file storage

 Download from upfiles.com  Download from userupload.net  Download from nitroflare.com  Download from rapidgator.net

---

我要反馈

---

本站不对文件进行储存，仅提供文件链接，请自行下载，本站不对文件内容负责，请自行判断文件是否安全，如发现文件有侵权行为，请联系管理员删除。