0
The mathematical theory of stochastic integrals, i.e. integrals where the integrator function is over the path of a stochastic, or random, process. Brownian motion is the classical example of a stochastic process. It is widely used to model the prices of financial assets and is at the basis of Black and Scholes' theory of option pricing.
Add your answer:
Earn +20 pts
What is a stochastic error term?
A stochastic error indicates an error that is random between measurements. Stochastics typically occur through the sum of many random errors.
What is the plural form of calculus?
There are several meanings to the word 'calculus.' The plural for calculus is 'calculi.' There is no plural for the calculus we use in mathematics.
How do you use Calculus in a sentence?
My Calculus class is in third period. Calculus is a noun
Which is harder differential calculus or integral calculus?
Im still taking Integral Calculus now, but for me, if you dont know Differential Calculus you will not know Integral Calculus, because Integral Calculus need Differential. So, as an answer to that question, ITS FAIR
Who started calculus?
there was no sure answer about who started calculus but it was Isaac Newton and Gottfried Wilhelm Leibniz who founded calculus because of their fundamental theorem of calculus.
Could you suggest some introductory books to stochastic calculus and derivative pricing?
A very simple introduction to stochastic calculus and to Black and Scholes' theory of option pricing is:Elementary Stochastic Calculus With Finance in View by Thomas MikoschIf you have a strong mathematical background and want a more sophisticated introduction, a very good choice would be:Stochastic Calculus and Financial Applications by J. Michael Steele
What has the author Thomas Mikosch written?
Thomas Mikosch has written: 'Elementary stochastic calculus with finance in view' -- subject(s): Stochastic analysis
What has the author E J McShane written?
E. J. McShane has written: 'Integration' -- subject(s): Generalized Integrals, Integrals, Generalized 'Semi-continuity in the calculus of variations, and absolute minima for isoperimetric problems' -- subject(s): Calculus of variations 'Unified integration' -- subject(s): Integrals 'Exterior ballistics' -- subject(s): Ballistics, Exterior, Exterior Ballistics 'Stochastic calculus and stochastic models' -- subject(s): Stochastic integrals, Stochastic differential equations
What has the author Michel Emery written?
Michel Emery has written: 'Stochastic calculus in manifolds' -- subject(s): Differential Geometry, Geometry, Differential, Stochastic processes
What has the author Mark M Meerschaert written?
Mark M. Meerschaert has written: 'Mathematical modeling' -- subject(s): Mathematical models 'Stochastic models for fractional calculus' -- subject(s): Fractional calculus, Diffusion processes, Stochastic analysis 'Mathematical Modeling'
What has the author Ioannis Karatzas written?
Ioannis Karatzas has written: 'Brownian motion and stochastic calculus' -- subject(s): Brownian motion processes, Stochastic analysis 'Lectures on the mathematics of finance' -- subject(s): Business mathematics 'Applied Stochastic Analysis' 'Construction of stationary Markov equilibria in a strategic market game'
What has the author J Michael Steele written?
J. Michael Steele has written: 'Stochastic calculus and financial applications' -- subject(s): Stochastic analysis, Business mathematics 'The Cauchy-Schwarz Master Class' -- subject(s): OverDrive, Mathematics, Nonfiction
What has the author A S Ustunel written?
A. S. Ustunel has written: 'An introduction to analysis on Wiener space' -- subject- s -: Malliavin calculus 'Transformation of measure on Wiener space' -- subject- s -: Stochastic analysis, Malliavin calculus
When was Stochastic Models created?
Stochastic Models was created in 1985.
What has the author G Adomian written?
G. Adomian has written: 'Stochastic systems' -- subject(s): Stochastic differential equations, Stochastic systems
What is Pierre Molchanov or Molchanoy famous for?
Pierre Molchanov, also known as Pyotr Molchanov, was a Russian mathematician known for his work in probability theory and stochastic calculus. He made significant contributions to the study of diffusions and stochastic processes. He is also known for the Girsanov transformation and the Molchanov-Taylor formula.
What is the difference between stochastic and random?
Wikipedia states that stochastic means random. But there are differences depending on the context. Stochastic is used as an adjective, as in stochastic process, stochastic model, or stochastic simulation, with the meaning that phenomena as analyzed has an element of uncertainty or chance (random element). If a system is not stochastic, it is deterministic. I may consider a phenomena is a random process and analyze it using a stochastic simulation model. When we generate numbers using a probability distribution, these are called random numbers, or pseudo random numbers. They can also be called random deviates. See related links.
