INTRODUCTION TO STOCHASTIC CALCULUS WITH APPLICATIONS PDF



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integration with respect to Brownian motion. The stochastic integral (4.6) will be interpreted as the sum of profits and losses. a. i (B. t. i The core of the book covers stochastic calculus, including stochastic differential equations, the relationship to partial differential equations, numerical methods and simulation, as well as applications of stochastic processes to finance.

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