Description: Stochastic Calculus With Infinitesimals, Paperback by Herzberg, Frederik S., ISBN 3642331483, ISBN-13 9783642331480, Like New Used, Free shipping in the US Stochastic analysis is not only a thriving area of pure mathematics with intriguing connections to partial differential equations and differential geometry. It also has numerous applications in the natural and social sciences (for instance in financial mathematics or theoretical quantum mechanics) and therefore appears in physics and economics curricula as well. However, existing approaches to stochastic analysis either presuppose various concepts from measure theory and functional analysis or lack full mathematical rigour. This short book proposes to solve the dilemma: By adopting E. Nelsons "radically elementary" theory of continuous-time stochastic processes, it is based on a demonstrably consistent use of infinitesimals and thus permits a radically simplified, yet perfectly rigorous approach to stochastic calculus and its fascinating applications, some of which (notably the Black-Scholes theory of option pricing and the Feynman path integral) are also discussed in th.
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Book Title: Stochastic Calculus With Infinitesimals
Number of Pages: Xviii, 112 Pages
Publication Name: Stochastic Calculus with Infinitesimals
Language: English
Publisher: Springer Berlin / Heidelberg
Publication Year: 2012
Subject: Differential Equations / General, Probability & Statistics / Stochastic Processes, Probability & Statistics / General, Logic, Econometrics
Type: Textbook
Item Weight: 74.7 Oz
Author: Frederik S. Herzberg
Item Length: 9.3 in
Subject Area: Mathematics, Business & Economics
Item Width: 6.1 in
Series: Lecture Notes in Mathematics Ser.
Format: Trade Paperback
