Fima C. Klebaner. Introduction to Stochastic Calculus With Applications

Second Edition. — Cambridge University Press, 2009. — 460 p. — ISBN: 978-0521738651. The aim of this book is to provide a straightforward and accessible introduction to stochastic integrals and stochastic differential equations driven by Lévy processes. Lévy processes form a wide and rich class of random process, and have many applications ranging from physics to finance....

Singapore: World Scientific Publishing, 2015. - 316p. The goal of this book is to present Stochastic Calculus at an introductory level and not at its maximum mathematical detail. The author aims to capture as much as possible the spirit of elementary deterministic Calculus, at which students have been already exposed. This assumes a presentation that mimics similar properties...

Berlin, Springer-Verlag, 2005. — 764 p. — ISBN: 3-540-40172-5. Монография посвящена многомерному анализу временных рядов. Рассмотрены векторные авторегрессии конечного и бесконечного порядка, коинтегрированные процессы, структурные модели и одновременные уравнения и некоторые другие вопросы. Для научных работников и аспирантов в области математической статистики и теории...

Massachusetts Institute of Technology, 2012. — 1067 p. — ISBN: 0262018020, 978-0262018029. Today's Web-enabled deluge of electronic data calls for automated methods of data analysis. Machine learning provides these, developing methods that can automatically detect patterns in data and then use the uncovered patterns to predict future data. This textbook offers a comprehensive...

5th Edition. — Springer, 1998. Corrected printing 2000. — 352 p. — ISBN: 3540637206. This book gives an introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to motivate and illustrate the theory and show its importance for many applications in e.g. economics, biology and physics. The basic idea of the...

Springer – 2004, 571 pages. ISBN: 0387401016, 9780387401010. Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance. The content of this book has been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both...