Introduction to Stochastic Integration
Language: English
Published by Springer New York, 2011
- Softcover
- New
Condition: New
£ 61.97
Quantity: 1 available
Add to basketItem description from seller
Affordable, softcover reprint of a classic textbookAuthors exposition consistently chooses clarity over brevityIncludes an expanded collection of exercises from the first editionThis is a substantial expansion of the first edit.
Seller Inventory # 4191391
- Title
- Introduction to Stochastic Integration
- Author
- Kai L. Chung|Ruth J. Williams
- Publisher
- Springer New York
- Publication year
- 2011
- Condition
- New
- Binding
- Soft cover
- Language
- English
- ISBN 10
- 1461288371
- ISBN 13
- 9781461288374
- Edition
- 2nd Edition
"Synopsis" may belong to another edition of this title.
From the Back Cover
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
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 the title" may belong to another edition of this title.
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