Band 2067
Stochastic Calculus with Infinitesimals
Aus der Reihe
Lecture Notes in Mathematics
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- Taschenbuch ausgewählt
- eBook
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Sprache:Englisch
Fr. 53.90
inkl. gesetzl. MwSt.,
Beschreibung
Produktdetails
Einband
Taschenbuch
Erscheinungsdatum
07.11.2012
Abbildungen
XVIII, 112 p.
Verlag
Springer BerlinSeitenzahl
112
Maße (L/B/H)
23.5/15.5/0.8 cm
Gewicht
213 g
Auflage
2013
Sprache
Englisch
ISBN
978-3-642-33148-0
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.
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