Introduction to Stochastic Integration

• Κύριοι συγγραφείς: Chung, K.L (Συγγραφέας), Williams, R.J (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: New York, NY : Springer New York : Imprint: Birkhäuser, 2014.
• Έκδοση: 2nd ed. 2014.
• Σειρά: Modern Birkhäuser Classics,
• Θέματα: Mathematics.; Probabilities.; Probability Theory and Stochastic Processes.

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...

Πίνακας περιεχομένων:

• 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.