Introduction to Stochastic Integration

• Main Authors: Chung, K.L (Author), Williams, R.J (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York : Imprint: Birkhäuser, 2014.
• Edition: 2nd ed. 2014.
• Series: Modern Birkhäuser Classics,
• Subjects: 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...

Table of Contents:

• 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.