Stochastic Calculus and Applications (2nd Edition) – eBook


eBook details

  • Authors: Samuel N. Cohen, Robert J. Elliott
  • File Size: 8 MB
  • Format: PDF
  • Length: 666 pages
  • Publisher: Birkhäuser; 2nd Edition
  • Publication Date: November 18, 2015
  • Language: English
  • ASIN: B01875OT56
  • ISBN-10: 149392866X, 1493936816
  • ISBN-13: 9781493928668, 9781493936816
Categories: ,


Completely reviewed and significantly expanded, Stochastic Calculus and Applications, 2nd Edition, (PDF) takes readers who have been exposed to only fundamental courses in analysis through the modern general theory of random processes and stochastic integrals as used by electronic engineers, systems theorists and, more recently, those working in mathematical and quantitative finance. Building upon the unique release of this title, this ebook will be of great interest to graduate students and research mathematicians working in those fields, in addition to quants in the finance industry.

New features of this second edition include:

New chapters on basic measure theory; end of chapter exercises and Backward SDEs; Reworked proofs, examples, and explanatory material; Increased emphasis on motivating the mathematics; Extensive topical index.


This is a fundamental ebook in modern stochastic calculus and its applications: rich contents, well-structured material, comprehensive coverage of all important results given with complete proofs and well illustrated by examples, carefully written text. Therefore, there are more than adequate reasons to strongly recommend the ebook to a wide audience. Among them, there are motivated and good graduate university students. Also, the ebook is an excellent reference book.” — Jordan M. Stoyanov, zbMATH 1338.60001, 2016

Such a complete and self-contained exposition of stochastic calculus and applications fills an existing gap in the literature. The ebook can be recommended for first-year graduate studies. It will be useful for all who aimed to work with stochastic calculus as well as with its applications.” — Zentralblatt

NOTE: The product only includes the ebook, Stochastic Calculus and Applications, 2nd Edition in PDF. No access codes are included.