Stochastic calculus provides a powerful description of a specific class of stochastic processes in physics and finance. However, many econophysicists struggle to understand it. This book presents the subject simply and systematically, giving graduate students and practitioners a better understanding and enabling them to apply the methods in practice. The book develops Ito calculus and Fokker–Planck equations as parallel approaches to stochastic processes, using those methods in a unified way. The focus is on nonstationary processes, and statistical ensembles are emphasized in time series analysis. Stochastic calculus is developed using general martingales. Scaling and fat tails are presented via diffusive models. Fractional Brownian motion is thoroughly analyzed and contrasted with Ito processes. The Chapman Kolmogorov and Fokker Planck equations are shown in theory and by example to be more general than a Markov process. The book also presents new ideas in financial economics and a critical survey of econometrics.
Stochastic Calculus and Differential Equations for Physics and Finance PDF Free Download
November 1, 2022
You may also like
APPLIED MATHEMATICS
Boundary Value Problems, Integral Equations and Related Problems by Liang fook Lye PDF
October 10, 2023
In this volume, we report new results about various boundary value problems for partial differential equations and functional equations, theory and methods of...
APPLIED MATHEMATICS
Solution Manual Advanced Modern Engineering Mathematics, 4th Edition by Glyn James PDF
October 10, 2023
This market-leading text is known for its comprehensive coverage, careful and correct mathematics, outstanding exercises, and self contained subject matter...
APPLIED MATHEMATICS
Advanced Modern Engineering Mathematics, 4th Edition by Glyn James PDF
October 10, 2023
This market-leading text is known for its comprehensive coverage, careful and correct mathematics, outstanding exercises, and self contained subject matter...
Recent Posts
- Algebra 3 Homological Algebra and Its Applications by Ramji Lal PDF
- Heat Transfer Physics 2nd Edition By Massoud Kaviany PDF
- Lavin’s Radiography for Veterinary Technicians, 6th Edition by Marg Brown PDF
- Principles of Physics, 10th Edition by David Halliday PDF
- The Dog Behavior Problem Solver by Teoti Anderson PDF
Add Comment