확률미적분학

노트

위키데이터

• ID : Q1308570

말뭉치

1. Stochastic calculus is a branch of mathematics that operates on stochastic processes.
2. This enables problems to be expressed in a coordinate system invariant form, which is invaluable when developing stochastic calculus on manifolds other than Rn.
3. An important application of stochastic calculus is in mathematical finance, in which asset prices are often assumed to follow stochastic differential equations.
4. Stochastic calculus is the area of mathematics that deals with processes containing a stochastic component and thus allows the modeling of random systems.
5. The main use of stochastic calculus in finance is through modeling the random motion of an asset price in the Black-Scholes model.
6. A fundamental tool of stochastic calculus, known as Ito's Lemma, allows us to derive it in an alternative manner.
7. The fundamental difference between stochastic calculus and ordinary calculus is that stochastic calculus allows the derivative to have a random component determined by a Brownian motion.
8. This book provides a comprehensive introduction to the theory of stochastic calculus and some of its applications.
9. The stochastic integral of left-continuous processes is general enough for studying much of stochastic calculus.
10. It is one of the most powerful and frequently used theorems in stochastic calculus.
11. These kinds of situations are abound in natural and other systems, and stochastic calculus provides a logical and mathematical framework to model these situations.
12. I decided to use this blog to post some notes on stochastic calculus, which I started writing some years ago while learning the subject myself.
13. We develop a stochastic calculus for processes which are built by convoluting a pure jump, zero expectation Lévy process with a Volterra-type kernel.
14. This course gives an introduction to probability theory and stochastic calculus in discrete and continuous time.
15. This book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance.
16. Tools from calculus, probability theory and stochastic processes that are required in stochastic calculus.
17. This book presents a concise treatment of stochastic calculus and its applications.
18. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics.
19. For mathematicians, this book could be a first text on stochastic calculus; it is good companion to more advanced texts by a way of examples and exercises.
20. For people from other fields, it provides a way to gain a working knowledge of stochastic calculus.
21. An introduction to the Ito stochastic calculus and stochastic differential equations through a development of continuous-time martingales and Markov processes.
22. …Brownian motion process is the Ito (named for the Japanese mathematician Itō Kiyosi) stochastic calculus, which plays an important role in the modern theory of stochastic processes.
23. This monograph is a concise introduction to the stochastic calculus of variations (also known as Malliavin calculus) for processes with jumps.
24. The book also contains some applications of the stochastic calculus for processes with jumps to the control theory and mathematical finance.
25. "... a book that is a marvelous first step for the person wanting a rigorous development of stochastic calculus, as well as its application to derivative pricing.

메타데이터

위키데이터

• ID : Q1308570

Spacy 패턴 목록

• [{'LOWER': 'stochastic'}, {'LEMMA': 'calculus'}]