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Stochastic Calculus and Applications
The theory of probability and stochastic calculus has grown significantly since
the publication of the first edition of this book. The theory of stochastic integration and semimartingales, a relatively recent development at the time
of the first edition, is now a standard and significant part of the working
mathematician’s toolkit. Concepts such as Backward SDEs, which were unheard of in 1982 (apart from one paper of Bismut), are now understood to be
fundamental to the theory of stochastic control and mathematical finance
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