Elements of Stochastic Calculus and Analysis

• Main Author: Stroock, Daniel W. (Author, http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2018.
• Edition: 1st ed. 2018.
• Series: CRM Short Courses,
• Subjects: Probabilities.; Probability Theory and Stochastic Processes.

This book gives a somewhat unconventional introduction to stochastic analysis. Although most of the material covered here has appeared in other places, this book attempts to explain the core ideas on which that material is based. As a consequence, the presentation is more an extended mathematical es...

Table of Contents:

• Preface
• 1. Kolmogorov's Equations
• 2. Itô's Approach
• 3. Brownian Stochastic Integration
• 4. Other Theories of Stochastic Integration
• 5. Addenda
• References
• Index. .