Introduction to Stochastic Calculus
Language: English
Published by Hindustan Book Agency, 2018
- First Edition
- Hardcover
- New
Seller: Vedams eBooks (P) Ltd, New Delhi, IndiaVedams eBooks (P) Ltd
AbeBooks seller since January 30, 2009
Condition: New
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Item description from seller
Contents: 1. Discrete Parameter Martingales. 2. Continuous-Time Processes. 3. The Ito's Integral. 4. Stochastic Integration. 5. Semimartingales. 6. Pathwise Formula for the Stochastic Integral. 7. Continuous Semimartingales. 8. Predictable Increasing Processes. 9. The Davis Inequality. 10. Integral Representation of Martingales. 11. Dominating Process of a Semimartingale. 12. SDE Driven by r.c.l.l. Semimartingales. 13. Girsanov Theorem. Bibliography. Index. This book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance. The first book to introduce pathwise formulae for the stochastic integral, it provides a simple but rigorous treatment of the subject, including a range of advanced topics. The book discusses in-depth topics such as quadratic variation, Ito formula, and Emery topology. The authors briefly address continuous semi-martingales to obtain growth estimates and study solution of a stochastic differential equation (SDE) by using the technique of random time change. Later, by using MetivierPellaumail inequality, the solutions to SDEs driven by general semi-martingales are discussed. The connection of the theory with mathematical finance is briefly discussed and the book has extensive treatment on the representation of martingales as stochastic integrals and a second fundamental theorem of asset pricing. Intended for undergraduate and beginning graduate level students in the engineering and mathematics disciplines, the book is also an excellent reference resource for applied mathematicians and statisticians looking for a review of the topic.…
Seller Inventory # 126930
- Title
- Introduction to Stochastic Calculus
- Author
- Rajeeva L. Karandikar and B. V. Rao
- Publisher
- Hindustan Book Agency
- Publication year
- 2018
- Condition
- New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 938627972X
- ISBN 13
- 9789386279729
- Edition
- 1st Edition
"Synopsis" may belong to another edition of this title.
Vedams eBooks (P) Ltd
New Delhi, India
AbeBooks seller since January 30, 2009
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| Item | 20 to 24 business days | 4 to 7 business days |
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