Probability Theory II : (Record no. 748861)

MARC details
000 -LEADER
fixed length control field 02554nam a2200193 4500
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
ISBN 9783031631924
041 ## - LANGUAGE CODE
Language code of text/sound track or separate title English
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 330.0212
Item number PAS/P
084 ## - OTHER CLASSIFICATION NUMBER
Source of Number Colon Classification
100 ## - MAIN ENTRY--AUTHOR NAME
Personal name Pascucci, Andrea
245 ## - TITLE STATEMENT
Title Probability Theory II :
Sub Title Stochatic Calculus
250 ## - EDITION STATEMENT
Edition statement 1
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication Italy:
Name of publisher Springer,
Year of publication 2024.
300 ## - PHYSICAL DESCRIPTION
Number of Pages 426p.
500 ## - GENERAL NOTE
General note This book offers a modern approach to the theory of continuous-time stochastic processes and stochastic calculus. The content is treated rigorously, comprehensively, and independently. In the first part, the theory of Markov processes and martingales is introduced, with a focus on Brownian motion and the Poisson process. Subsequently, the theory of stochastic integration for continuous semimartingales was developed. A substantial portion is dedicated to stochastic differential equations, the main results of solvability and uniqueness in weak and strong sense, linear stochastic equations, and their relation to deterministic partial differential equations. Each chapter is accompanied by numerous examples. This text stems from over twenty years of teaching experience in stochastic processes and calculus within master's degrees in mathematics, quantitative finance, and postgraduate courses in mathematics for applications and mathematical finance at the University of Bologna. The book provides material for at least two semester-long courses in scientific studies (Mathematics, Physics, Engineering, Statistics, Economics, etc.) and aims to provide a solid background for those interested in the development of stochastic calculus theory and its applications. This text completes the journey started with the first volume of Probability Theory I - Random Variables and Distributions, through a selection of advanced classic topics in stochastic analysis. This book offers a modern approach to the theory of continuous-time stochastic processes and stochastic calculus
505 ## - FORMATTED CONTENTS NOTE
Formatted contents note 1 Stochastic processes<br/>2 Markov processes<br/>3 Continuous processes<br/>4 Brownian motion<br/>5 Poisson process<br/>6 Stopping times<br/>7 Strong Markov property<br/>8 Continuous martingales<br/>9 Theory of variation<br/>10 Stochastic integral<br/>11 Itô's formula<br/>12 Multidimensional stochastic calculus<br/>13 Change of measure and martingale representation<br/>14 Stochastic differential equations<br/>15 Feynman-Kac formulas<br/>16 Linear stochastic equations<br/>17 Strong solutions<br/>18 Weak solutions<br/>19 Complements.-20 A primer on parabolic PDEs<br/>
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical Term Economics, Probability Theory
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Source of classification or shelving scheme Dewey Decimal Classification
Koha item type Reference
Holdings
Withdrawn status Lost status Source of classification or shelving scheme Damaged status Not for loan Collection code Home Library Current Location Shelving location Date acquired Source of acquisition Cost, normal purchase price Full call number Accession Number Price effective from Koha item type
    Dewey Decimal Classification     Reference Dept. of Economics Dept. of Economics Processing Center 20/05/2025 MBC/0726/2024 dt: 13/03/2025 5683.00 330.0212 PAS/P ECN16775   Reference