Stochastic Calculus books and eBooks
The numerical analysis of stochastic differential equations differs significantly from that of ordinary differential equations due to the peculiarities of stochastic calculus and stochastic differential equations, in both theory and applications, emphasizing the numerical methods needed to solve such equations.
by Bernt Oksendal
An introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to motivate and illustrate the theory and show its importance for many applications in such fields as economics, biology and physics.
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