Stochastic Calculus with Infinitesimals
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) a...
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| Autore principale: | |
|---|---|
| Natura: | Livre numérique |
| Lingua: | Anglais |
| Pubblicazione: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Edizione: | 1st ed. 2013. |
| Serie: | Lecture Notes in Mathematics
2067 |
| Soggetti: | |
| Accesso online: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
L'impression du document génère 124 p. Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Stochastic calculus with infinitesimals, Frederik S. Herzberg, Heidelberg, Springer, 2013, 1 vol. (XVIII-112 p.), Lecture notes in mathematics, 978-3-642-33148-0 |
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|---|---|---|---|
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| 041 | 0 | |a eng | |
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| 100 | 1 | |a Herzberg, Frederik S., |d 1981- | |
| 245 | 1 | 0 | |a Stochastic Calculus with Infinitesimals |c Frederik Herzberg. |
| 250 | |a 1st ed. 2013. | ||
| 260 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 0 | |a Lecture Notes in Mathematics |v 2067 |x 1617-9692 | |
| 500 | |a L'impression du document génère 124 p. | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 504 | |a Bibliogr. Index | ||
| 505 | 1 | |a 1 Infinitesimal calculus, consistently and accessibly 2 Radically elementary probability theory 3 Radically elementary stochastic integrals 4 The radically elementary Girsanov theorem and the diffusion invariance principle 5 Excursion to nancial economics: A radically elementary approach to the fundamental theorems of asset pricing 6 Excursion to financial engineering: Volatility invariance in the Black-Scholes model 7 A radically elementary theory of Itô diffusions and associated partial differential equations 8 Excursion to mathematical physics: A radically elementary definition of Feynman path integrals 9 A radically elementary theory of Lévy processes 10 Final remarks | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a 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 | ||
| 650 | |a Analyse stochastique | ||
| 650 | |a Analyse mathématique non standard | ||
| 776 | 0 | |0 166158259 |t Stochastic calculus with infinitesimals |f Frederik S. Herzberg |c Heidelberg |n Springer |d 2013 |p 1 vol. (XVIII-112 p.) |s Lecture notes in mathematics |z 978-3-642-33148-0 | |
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