Introduction to Stochastic Integration

• Main Author: Kuo, Hui-Hsiung (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York, 2006.
• Series: Universitext
• Subjects: Mathematics.; Economics, Mathematical.; Probabilities.; Probability Theory and Stochastic Processes.; Quantitative Finance.

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...

Table of Contents:

• 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.