Search results with tag "Introduction to stochastic calculus"
A Brief Introduction to Stochastic Calculus
www.columbia.eduA Brief Introduction to Stochastic Calculus These notes provide a very brief introduction to stochastic calculus, the branch of mathematics that is most identi ed with nancial engineering and mathematical nance. We will ignore most of the technical details and take an \engineering" approach to the subject.
Stochastic Calculus: An Introduction with Applications
www.math.uchicago.eduThis is an introduction to stochastic calculus. I will assume that the reader has had a post-calculus course in probability or statistics. For much of these notes this is all that is needed, but to have a deep understanding of the subject, one needs to know measure theory and probability from that per-spective.
Introduction to Stochastic Calculus - Duke University
services.math.duke.edui) The gambler’s ruin problem We play the following game: We start with 3$ in our pocket and we ip a coin. If the result is tail we loose one dollar, while if the result is positive we win one dollar. We stop when we have no money to bargain, or when we reach 9$. We may ask: what is the probability that I end up broke?