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...
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Συγγραφή απο Οργανισμό/Αρχή: | |
Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
Γλώσσα: | English |
Έκδοση: |
New York, NY :
Springer New York,
2006.
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Σειρά: | Universitext
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Θέματα: | |
Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- 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.