2. Probabilistic Models of Diffusion Processes

  1. Jacques Janssen,
  2. Oronzio Manca and
  3. Raimondo Manca
  1. Jacques Janssen,
  2. Oronzio Manca and
  3. Raimondo Manca

Published Online: 4 APR 2013

DOI: 10.1002/9781118578339.ch2

Applied Diffusion Processes from Engineering to Finance

Applied Diffusion Processes from Engineering to Finance

How to Cite

Janssen, J., Manca, O. and Manca, R. (2013) Probabilistic Models of Diffusion Processes, in Applied Diffusion Processes from Engineering to Finance, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118578339.ch2

Publication History

  1. Published Online: 4 APR 2013
  2. Published Print: 4 MAR 2013

ISBN Information

Print ISBN: 9781848212497

Online ISBN: 9781118578339

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Keywords:

  • diffusion processes;
  • Itô processes;
  • probabilistic models;
  • stochastic calculus;
  • stochastic differential equations (SDE)

Summary

This chapter presents the basic results concerning Itô's calculus — also called stochastic calculus, one of the main tools used in stochastic finance, and also the most important notions and results concerning diffusion processes intensively used in finance and insurance.