Introduction to Stochastic Calculus with Applications

by Gregory F. Lawler

This text balances accessibility and rigor in teaching stochastic calculus to advanced undergraduate and graduate students in mathematics, economics, and finance. Avoiding the measure-theoretic formalism, the author presents the material in a natural order and keeps technical ideas to a minimum. Any technical material is covered in sections that are separate from the main text. Students are encouraged to write computer programs using C++, MATLAB(r), or "Mathematica"(r).

Genres: Mathematics, Nonfiction

250 pages, Hardcover

First published July 1, 1995

Reviews

[Saman · Rating 4 out of 5]

Stochastic processes is the mathematical study of processes which have some random elements in it. Like what happens in a gambling match or in biology, the probability of survival or extinction of species. The book starts from easy questions, specially when the time is discrete, later it goes to continuous time problems and Brownian motions. One of the best books in this area, I don't remember any line to be vague or hard to understand. It is attractive both from pure perspective and practical viewpoint.

[Dmitri · Rating 5 out of 5]

This is a great introductory book for stochastic calculus. Unlike most books on stochastics, this one does not require the knowledge of measure theory, but does require some fundamental knowledge of difference equations and linear algebra. The book mainly covers the topic of Markov chains in discrete and continuous settings, but does cover a bit of Ito calculus too (just the basics, though). It's a very accessible text, though sometimes its explanations go a bit too far in terms of theory - something that's difficult to avoid, I guess. It is, by now, an out-of-print text that's very difficult to get a hold of.