Stochastic Calculus with Infinitesimals
11.2012β―Π³. Β· Springer
ΠΠ»Π΅ΠΊΡΡΠΎΠ½Π½Π° ΠΊΠ½ΠΈΠ³Π°
112
Π‘ΡΡΠ°Π½ΠΈΡΠΈ
reportΠΡΠ΅Π½ΠΊΠΈΡΠ΅ ΠΈ ΠΎΡΠ·ΠΈΠ²ΠΈΡΠ΅ Π½Π΅ ΡΠ° ΠΏΠΎΡΠ²ΡΡΠ΄Π΅Π½ΠΈ Β ΠΠ°ΡΡΠ΅ΡΠ΅ ΠΏΠΎΠ²Π΅ΡΠ΅
ΠΡΠΈΡΠΊΠΎ Π·Π° ΡΠ°Π·ΠΈ Π΅Π»Π΅ΠΊΡΡΠΎΠ½Π½Π° ΠΊΠ½ΠΈΠ³Π°
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.
ΠΡΠ΅Π½Π΅ΡΠ΅ ΡΠ°Π·ΠΈ Π΅Π»Π΅ΠΊΡΡΠΎΠ½Π½Π° ΠΊΠ½ΠΈΠ³Π°
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ΠΠ°ΠΏΡΠΎΠΏΠΈ ΠΈ ΠΊΠΎΠΌΠΏΡΡΡΠΈ
ΠΠΎΠΆΠ΅ΡΠ΅ Π΄Π° ΡΠ»ΡΡΠ°ΡΠ΅ Π·Π°ΠΊΡΠΏΠ΅Π½ΠΈΡΠ΅ ΠΎΡ Google Play Π°ΡΠ΄ΠΈΠΎΠΊΠ½ΠΈΠ³ΠΈ ΠΏΠΎΡΡΠ΅Π΄ΡΡΠ²ΠΎΠΌ ΡΠ΅Π± Π±ΡΠ°ΡΠ·ΡΡΠ° Π½Π° ΠΊΠΎΠΌΠΏΡΡΡΡΠ° ΡΠΈ.
ΠΠ»Π΅ΠΊΡΡΠΎΠ½Π½ΠΈ ΡΠ΅ΡΡΠΈ ΠΈ Π΄ΡΡΠ³ΠΈ ΡΡΡΡΠΎΠΉΡΡΠ²Π°
ΠΠ° Π΄Π° ΡΠ΅ΡΠ΅ΡΠ΅ Π½Π° ΡΡΡΡΠΎΠΉΡΡΠ²Π° Ρ Π΅Π»Π΅ΠΊΡΡΠΎΠ½Π½ΠΎ ΠΌΠ°ΡΡΠΈΠ»ΠΎ, ΠΊΠ°ΡΠΎ Π½Π°ΠΏΡΠΈΠΌΠ΅Ρ Π΅Π»Π΅ΠΊΡΡΠΎΠ½Π½ΠΈΡΠ΅ ΡΠ΅ΡΡΠΈ ΠΎΡ Kobo, ΡΡΡΠ±Π²Π° Π΄Π° ΠΈΠ·ΡΠ΅Π³Π»ΠΈΡΠ΅ ΡΠ°ΠΉΠ» ΠΈ Π΄Π° Π³ΠΎ ΠΏΡΠ΅Ρ
Π²ΡΡΠ»ΠΈΡΠ΅ Π½Π° ΡΡΡΡΠΎΠΉΡΡΠ²ΠΎΡΠΎ ΡΠΈ. ΠΠ·ΠΏΡΠ»Π½Π΅ΡΠ΅ ΠΏΠΎΠ΄ΡΠΎΠ±Π½ΠΈΡΠ΅ ΠΈΠ½ΡΡΡΡΠΊΡΠΈΠΈ Π² ΠΠΎΠΌΠΎΡΠ½ΠΈΡ ΡΠ΅Π½ΡΡΡ, Π·Π° Π΄Π° ΠΏΡΠ΅Ρ
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