Introduction to Stochastic Integration

2006
ISBN: 978-0-387-28720-1
Verlag: Springer

Buch, Englisch, 279 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 452 g

Reihe: Universitext

Also called Ito calculus, the theory of stochastic integration has applications in virtually every scientific area involving random functions. This introductory textbook provides a concise introduction to the Ito calculus.

From the reviews:

"Introduction to Stochastic Integration is exactly what the title says. I would maybe just add a ‘friendly’ introduction because of the clear presentation and flow of the contents." --THE MATHEMATICAL SCIENCES DIGITAL LIBRARY

Zielgruppe

Research

Autoren/Hrsg.

Kuo, Hui-Hsiung

Fachgebiete

• Mathematik | Informatik Mathematik Mathematische Analysis Integralrechnungen- und -gleichungen
• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
• Mathematik | Informatik Mathematik Mathematische Analysis Differentialrechnungen und -gleichungen

Inhaltsverzeichnis

Brownian Motion.- Constructions of Brownian Motion.- Stochastic Integrals.- An Extension of Stochastic Integrals.- Stochastic Integrals for Martingales.- The Itô Formula.- Applications of the Itô Formula.- Multiple Wiener-Itô Integrals.- Stochastic Differential Equations.- Some Applications and Additional Topics.