Stochastic Calculus and Applications

By: Samuel N. Cohen, Robert J. Elliott

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Paperback | 19 November 2015 | Edition Number 2

At a Glance

Paperback
692 Pages

Edition Type
Revised

Dimensions(cm)
22.86 x 15.24 x 3.81

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Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance. Building upon the original release of this title, this text will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry.

New features of this edition include:

End of chapter exercises; New chapters on basic measure theory and Backward SDEs; Reworked proofs, examples and explanatory material; Increased focus on motivating the mathematics; Extensive topical index.

"Such a self-contained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for first-year graduate studies. It will be useful for all who intend to work with stochastic calculus as well as with its applications."-Zentralblatt (from review of the First Edition)

Industry Reviews

"As supplementary reading for a second course or as s comprehensive (!) resource for the general theory of processes aimed at Ph. D. students and scholars, this second edition will stay a valuable resource." (Ren© L. Schilling, Mathematical Reviews, October, 2016)

"This is a fundamental book in modern stochastic calculus and its applications: rich contents, well structured material, comprehensive coverage of all significant results given with complete proofs and well illustrated by examples, carefully written text. Hence, there are more than enough reasons to strongly recommend the book to a wide audience. Among them, there are good and motivated graduate university students. ... Also, the book is an excellent reference book." (Jordan M. Stoyanov, zbMATH 1338.60001, 2016)

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