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20140310154227.0 |
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020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
International Standard Book Number |
9783642331497 |
|
978-3-642-33149-7 |
050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
Classification number |
QA8.9-10.3 |
082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
Classification number |
511.3 |
Edition number |
23 |
264 #1 - |
-- |
Berlin, Heidelberg : |
-- |
Springer Berlin Heidelberg : |
-- |
Imprint: Springer, |
-- |
2013. |
912 ## - |
-- |
ZDB-2-SMA |
|
-- |
ZDB-2-LNM |
100 1# - MAIN ENTRY--PERSONAL NAME |
Personal name |
Herzberg, Frederik. |
Relator term |
author. |
245 10 - IMMEDIATE SOURCE OF ACQUISITION NOTE |
Title |
Stochastic Calculus with Infinitesimals |
Medium |
[electronic resource] / |
Statement of responsibility, etc |
by Frederik Herzberg. |
300 ## - PHYSICAL DESCRIPTION |
Extent |
XVIII, 112 p. |
Other physical details |
online resource. |
440 1# - SERIES STATEMENT/ADDED ENTRY--TITLE |
Title |
Lecture Notes in Mathematics, |
International Standard Serial Number |
0075-8434 ; |
Volume number/sequential designation |
2067 |
505 0# - FORMATTED CONTENTS NOTE |
Formatted contents note |
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. |
520 ## - SUMMARY, ETC. |
Summary, etc |
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 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
Topical term or geographic name as entry element |
Mathematics. |
|
Topical term or geographic name as entry element |
Logic, Symbolic and mathematical. |
|
Topical term or geographic name as entry element |
Distribution (Probability theory). |
|
Topical term or geographic name as entry element |
Mathematics. |
|
Topical term or geographic name as entry element |
Mathematical Logic and Foundations. |
|
Topical term or geographic name as entry element |
Probability Theory and Stochastic Processes. |
|
Topical term or geographic name as entry element |
Game Theory, Economics, Social and Behav. Sciences. |
|
Topical term or geographic name as entry element |
Mathematical Physics. |
710 2# - ADDED ENTRY--CORPORATE NAME |
Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
773 0# - HOST ITEM ENTRY |
Title |
Springer eBooks |
776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
Display text |
Printed edition: |
International Standard Book Number |
9783642331480 |
856 40 - ELECTRONIC LOCATION AND ACCESS |
Uniform Resource Identifier |
http://dx.doi.org/10.1007/978-3-642-33149-7 |
942 ## - ADDED ENTRY ELEMENTS (KOHA) |
Source of classification or shelving scheme |
|
Item type |
E-Book |