Kuo Introduction to Stochastic Integration
1. Auflage 2006
ISBN: 978-0-387-31057-2
Verlag: Springer US
Format: PDF
Kopierschutz: 1 - PDF Watermark
E-Book, Englisch, 292 Seiten, Web PDF
Reihe: Mathematics and Statistics (R0)
ISBN: 978-0-387-31057-2
Verlag: Springer US
Format: PDF
Kopierschutz: 1 - PDF Watermark
The theory of stochastic integration, also called the Ito calculus, has a large spectrum of applications in virtually every scientific area involving random functions. This introductory textbook on stochastic integration provides a concise introduction to the Ito calculus, and covers the constructions of Brownian motion, stochastic integrals for Brownian motion and martingales, the Ito formula, multiple Wiener-Ito integrals, stochastic differential equations, and applications to finance, filtering theory, and electric circuits.
Zielgruppe
Graduate
Autoren/Hrsg.
Weitere Infos & Material
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.
