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Stochastic calculus

Stochastic calculus is a branch of mathematics that provides the formal framework and quantitative tools needed for modelling stochastic processes, which are specified through one or more integral and/or differential equations involving both deterministic and random (i.e. stochastic) variables. The classical example of an stochastic process is the so called Brownian motion, originally developed by Albert Einstein to model the diffusion in space of particles subject to random forces. Later, the concept has been widely applied in financial mathematics to model the evolution in time of stock and bond prices.

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Jean Gaspard Felix Ravaisson-Mollien

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