Stochastic Calculus with Infinitesimals is popular PDF and ePub book, written by Frederik S. Herzberg in 2012-11-06, it is a fantastic choice for those who relish reading online the Mathematics genre. Let's immerse ourselves in this engaging Mathematics book by exploring the summary and details provided below. Remember, Stochastic Calculus with Infinitesimals can be Read Online from any device for your convenience.
Stochastic Calculus with Infinitesimals Book PDF Summary
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. Nelson's "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 the book.
Detail Book of Stochastic Calculus with Infinitesimals PDF
- Author : Frederik S. Herzberg
- Release : 06 November 2012
- Publisher : Springer
- ISBN : 9783642331497
- Genre : Mathematics
- Total Page : 125 pages
- Language : English
- PDF File Size : 9,6 Mb
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