03947nam 22007212 450 991046495720332120151005020623.01-107-23323-21-107-33291-51-107-33457-81-107-33623-61-139-01946-51-299-25742-91-107-33226-51-107-33540-X(CKB)3460000000128971(OCoLC)828423681(CaPaEBR)ebrary10659339(SSID)ssj0000834202(PQKBManifestationID)11460252(PQKBTitleCode)TC0000834202(PQKBWorkID)10981151(PQKB)11737902(UkCbUP)CR9781139019460(MiAaPQ)EBC1139554(PPN)199146020(Au-PeEL)EBL1139554(CaPaEBR)ebr10659339(CaONFJC)MIL456992(OCoLC)829459852(EXLCZ)99346000000012897120110216d2013|||| uy| 0engur|||||||||||txtrdacontentcrdamediacrrdacarrierStochastic calculus and differential equations for physics and finance /Joseph L. McCauley, Physics Department University of Houston[electronic resource]Cambridge :Cambridge University Press,2013.1 online resource (xi, 206 pages) digital, PDF file(s)Title from publisher's bibliographic system (viewed on 05 Oct 2015).0-521-76340-1 1-107-32647-8 Includes bibliographical references and index.Random variables and probability distributions -- Martingales, Markov, and nonstationarity -- Stochastic calculus -- Ito processes and Fokker-Planck equations -- Selfsimilar Ito processes -- Fractional Brownian motion -- Kolmogorov's PDEs and Chapman-Kolmogorov -- Non Markov Ito processes -- Black-Scholes, martingales, and Feynman-Katz -- Stochastic calculus with martingales -- Statistical physics and finance, a brief history of each -- Introduction to new financial economics -- Statistical ensembles and time series analysis -- Econometrics -- Semimartingales.Stochastic calculus provides a powerful description of a specific class of stochastic processes in physics and finance. However, many econophysicists struggle to understand it. This book presents the subject simply and systematically, giving graduate students and practitioners a better understanding and enabling them to apply the methods in practice. The book develops Ito calculus and Fokker-Planck equations as parallel approaches to stochastic processes, using those methods in a unified way. The focus is on nonstationary processes, and statistical ensembles are emphasized in time series analysis. Stochastic calculus is developed using general martingales. Scaling and fat tails are presented via diffusive models. Fractional Brownian motion is thoroughly analyzed and contrasted with Ito processes. The Chapman-Kolmogorov and Fokker-Planck equations are shown in theory and by example to be more general than a Markov process. The book also presents new ideas in financial economics and a critical survey of econometrics.Stochastic Calculus & Differential Equations for Physics & FinanceStochastic processesDifferential equationsStatistical physicsFinanceMathematical modelsStochastic processes.Differential equations.Statistical physics.FinanceMathematical models.519.2McCauley Joseph L.21376UkCbUPUkCbUPBOOK9910464957203321Stochastic calculus and differential equations for physics and finance2456436UNINA