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Calin O. An Informal Introduction to Stochastic Calculus with Applications

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Calin O. An Informal Introduction to Stochastic Calculus with Applications
Singapore: World Scientific Publishing, 2015. - 316p.
The goal of this book is to present Stochastic Calculus at an introductory level and not at its maximum mathematical detail. The author aims to capture as much as possible the spirit of elementary deterministic Calculus, at which students have been already exposed. This assumes a presentation that mimics similar properties of deterministic Calculus, which facilitates understanding of more complicated topics of Stochastic Calculus.
Readership: Undergraduate and graduate students interested in stochastic processes.
A Few Introductory Problems
Basic Notions
Useful Stochastic Processes
Properties of Stochastic Processes
Stochastic Integration
Stochastic Differentiation
Stochastic Integration Techniques
Stochastic Differential Equations
Applications of Brownian Motion
Girsanov's Theorem and Brownian Motion
Some Applications of Stochastic Calculus
Hints and Solutions
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