TY - BOOK ID - 46364411 TI - Stochastic Calculus and Differential Equations for Physics and Finance. PY - 2013 SN - 1107233232 1107332915 1107334578 1107336236 1139019465 1299257429 1107332265 110733540X 1107326478 0521763401 9781107334571 9780521763400 9781107326477 9781107336230 9781299257429 9781139019460 9781107332911 9780521763400 PB - Cambridge Cambridge University Press DB - UniCat KW - Stochastic processes. KW - Differential equations. KW - Statistical physics. KW - Finance KW - Mathematical models. KW - Physics KW - Mathematical statistics KW - 517.91 Differential equations KW - Differential equations KW - Random processes KW - Probabilities KW - Statistical methods KW - General and Others UR - https://www.unicat.be/uniCat?func=search&query=sysid:46364411 AB - Stochastic calculus provides a powerful description of a specific class of stochastic processes in physics and finance. However, many econophysicists struggle to understand it. This book presents the subject simply and systematically, giving graduate students and practitioners a better understanding and enabling them to apply the methods in practice. The book develops Ito calculus and Fokker-Planck equations as parallel approaches to stochastic processes, using those methods in a unified way. The focus is on nonstationary processes, and statistical ensembles are emphasized in time series analysis. Stochastic calculus is developed using general martingales. Scaling and fat tails are presented via diffusive models. Fractional Brownian motion is thoroughly analyzed and contrasted with Ito processes. The Chapman-Kolmogorov and Fokker-Planck equations are shown in theory and by example to be more general than a Markov process. The book also presents new ideas in financial economics and a critical survey of econometrics. ER -