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Stochastic Calculus and Differential Equations for Physics and Finance 2024 pdf epub mobi 电子书

Stochastic Calculus and Differential Equations for Physics and Finance
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发表于2024-11-23

Stochastic Calculus and Differential Equations for Physics and Finance 2024 pdf epub mobi 电子书

Stochastic Calculus and Differential Equations for Physics and Finance 2024 pdf epub mobi 电子书

Stochastic Calculus and Differential Equations for Physics and Finance 2024 pdf epub mobi 电子书


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出版者:Cambridge University Press
作者:Joseph L. McCauley
出品人:
页数:220
译者:
出版时间:2013-2-21
价格:GBP 93.00
装帧:Hardcover
isbn号码:9780521763400
丛书系列:

图书标签: 物理  概率论  数学  Stochastics   

Stochastic Calculus and Differential Equations for Physics and Finance 2024 pdf epub mobi 电子书 图书描述

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 2024 pdf epub mobi 电子书
Stochastic Calculus and Differential Equations for Physics and Finance 2024 pdf epub mobi 电子书
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