Stochastic Calculus and Applications (Probability and Its Applications) 2nd Edition by Samuel N. Cohen (PDF)

Description

Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance. Building upon the original release of this title, this text will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry.New features of this edition include:End of chapter exercises; New chapters on basic measure theory and Backward SDEs; Reworked proofs, examples and explanatory material; Increased focus on motivating the mathematics; Extensive topical index.”Such a self-contained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for first-year graduate studies. It will be useful for all who intend to work with stochastic calculus as well as with its applications.”–Zentralblatt (from review of the First Edition)

User’s Reviews

Reviews from Amazon users which were colected at the time this book was published on the website:

⭐This is probably the best introduction to all aspects of stochastic calculus. All topics of current interest are covered, including jump processes, backward stochastic differential equations, optimal control, and filtering. The authors’ style is lucid, if somewhat formal. Plenty of examples and exercises make the book suitable for self-study.

⭐One of the most complete and readable references on stochastic processes.

⭐All satisfactory

⭐An extremely useful and rigorous presentation of stochastic calculus and semimartingale theory. This book contains quite advanced material, illustrated by many insightful examples and including recent results from the literature.

⭐This book is one of the best in exposition I’ve ever had my hands on. It gives clear motivations for definitions and is quite rigorous in its statements and proofs. A must buy for anyone working in the field. The only thing I can complain about is that it does not have the solutions to its excellent exercises. Other than that, its flawless.

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