Items related to An Introduction to Stochastic Integration (Probability...
Synopsis
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.
Using the modern approach, the stochastic integral is defined for predictable integrands and local martingales; then Itô's change of variable formula is developed for continuous martingales. Applications include a characterization of Brownian motion, Hermite polynomials of martingales, the Feynman-Kac functional and Schrödinger equation. For Brownian motion, the topics of local time, reflected Brownian motion, and time change are discussed.
New to the second edition are a discussion of the Cameron-Martin-Girsanov transformation and a final chapter which provides an introduction to stochastic differential equations, as well as many exercises for classroom use.
This book will be a valuable resource to all mathematicians, statisticians, economists, and engineers employing the modern tools of stochastic analysis.
The text also proves that stochastic integration has made an important impact on mathematical progress over the last decades and that stochastic calculus has become one of the most powerful tools in modern probability theory.
-Journal of the American Statistical Association
[horizontal dagger separator]
An attractive text...written in [a] lean and precise style...eminently readable. Especially pleasant are the care and attention devoted to details... A very fine book.
-Mathematical Reviews
"synopsis" may belong to another edition of this title.
Review
"An attractive text...written in [a] lean and precise style...eminently readable. Especially pleasant are the care and attention devoted to details... A very fine book."
—Mathematical Reviews
"About this title" may belong to another edition of this title.
- PublisherBirkhauser Boston
- Publication date1990
- ISBN 10 0817633863
- ISBN 13 9780817633868
- BindingPaperback
- LanguageEnglish
- Edition number2
- Number of pages294
Other Popular Editions of the Same Title
Search results for An Introduction to Stochastic Integration (Probability...
Stock Image
An Introduction to Stochastic Integration. Second edition (Probability and its Applications)
Seller: Zubal-Books, Since 1961, Cleveland, OH, U.S.A.
Seller rating 5 out of 5 stars
Condition: Very Good. 2nd edition, 276 pp., Hardcover, light wear to 1 corner else near fine. - If you are reading this, this item is actually (physically) in our stock and ready for shipment once ordered. We are not bookjackers. Buyer is responsible for any additional duties, taxes, or fees required by recipient's country. Seller Inventory # ZB1314693
Quantity: 1 available
Seller Image
Introduction to Stochastic Integration (Probability and Its Applications)
Seller: Blue Whale Books, ABAA, Charlottesville, VA, U.S.A.
Seller rating 5 out of 5 stars
Hardcover. Condition: Very Good. Second edition. Name of previous owner (UVS Prof.) on front free end paper otherwise internally clean. Pictorial boards have some slight scuffing. Always securely packed. Professional booksellers since 1994. Satisfaction guaranteed. Seller Inventory # 022181
Quantity: 1 available
Stock Image
An Introduction to Stochastic Integration (Probability and Its Applications)
Seller: Anybook.com, Lincoln, United Kingdom
Seller rating 5 out of 5 stars
Condition: Good. This is an ex-library book and may have the usual library/used-book markings inside.This book has hardback covers. In good all round condition. No dust jacket. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,650grams, ISBN:0817633863. Seller Inventory # 5841890
Quantity: 1 available
Stock Image
Introduction to Stochastic Integration (Probability and Its Applications)
Seller: Griffin Books, Stamford, CT, U.S.A.
Seller rating 5 out of 5 stars
hardcover. Condition: As New. 2nd. Looks unread with ownership ink to the title page. B32 Please email for photos. Larger books or sets may require additional shipping charges. Books sent via US Postal. Seller Inventory # 114067
Quantity: 1 available
Stock Image
Introduction to Stochastic Integration (Probability and Its Applications)
Seller: dsmbooks, Liverpool, United Kingdom
Seller rating 4 out of 5 stars
Hardcover. Condition: Very Good. Very Good. book. Seller Inventory # D8S0-3-M-0817633863-6
Quantity: 1 available
Stock Image
Introduction to Stochastic Integration (Probability and Its Applications)
Seller: BennettBooksLtd, North Las Vegas, NV, U.S.A.
Seller rating 5 out of 5 stars
hardcover. Condition: New. In shrink wrap. Looks like an interesting title! Seller Inventory # Q-0817633863
Quantity: 1 available