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Introduction to Stochastic Integration
The theory of stochastic integration, also called the Ito calculus, has a large spectrum of applications in virtually every scientific area involving random functions, but it can be a very difficult subject for people without much mathematical background. The Ito calculus was originally motivated by...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
New York, NY :
Springer New York : Imprint: Springer,
2006.
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| Edición: | 1st ed. 2006. |
| Colección: | Universitext,
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| Temas: | |
| Acceso en línea: | Texto Completo |
Tabla de Contenidos:
- 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.