Introduction to Stochastic Integration

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A highly readable introduction to stochastic integration and stochastic differential equations, this book combines developments of the basic theory with applications. It is written in a style suitable for the text of a graduate course in stochastic calculus, following a course in probability.   Usin...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Chung, K.L (Autor), Williams, R.J (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: New York, NY : Springer New York : Imprint: Birkhäuser, 2014.
Edición:2nd ed. 2014.
Colección:Modern Birkhäuser Classics,
Temas:
Probabilities.
Probability Theory.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 1 Preliminaries
  • 2 Definition of the Stochastic Integral
  • 3 Extension of the Predictable Integrands
  • 4 Quadratic Variation Process
  • 5 The Ito Formula
  • 6 Applications of the Ito Formula
  • 7 Local Time and Tanaka's Formula
  • 8 Reflected Brownian Motions
  • 9 Generalization Ito Formula, Change of Time and Measure
  • 10 Stochastic Differential Equations
  • References
  • Index.

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