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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
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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
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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 Verlag AG
- Publication date1990
- ISBN 10 3764333863
- ISBN 13 9783764333867
- BindingHardcover
- LanguageEnglish
- Edition number2
- Number of pages296
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Introduction to Stochastic Integration.
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gebundene Ausgabe. Condition: Gut. 2nd Revised edition;. 276 Seiten; Das hier angebotene Buch stammt aus einer teilaufgelösten wissenschaftlichen Bibliothek und trägt die entsprechenden Kennzeichnungen (Rückenschild, Instituts-Stempel.); Schnitt und Einband sind etwas staubschmutzig; der Buchzustand ist ansonsten ordentlich und dem Alter entsprechend gut. Text in ENGLISCHER Sprache! Sprache: Englisch Gewicht in Gramm: 600. Seller Inventory # 1613953
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Introduction to stochastic integration.
Seller: Antiquariat Bookfarm, Löbnitz, Germany
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Hardcover. second edition. Ex-library with stamp and library-signature. GOOD condition, some traces of use. C-02030 3764333863 Sprache: Englisch Gewicht in Gramm: 550. Seller Inventory # 2487869
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