Highly recommend this book to everyone who started to study stochastic processes and SDE! This book gives better understanding and intuition of the subject than more advanced Karatzas & Shreve. I enjoyed to read this book very much also because the author always referees you to the necessary formula
Introduction to Stochastic Integration
β Scribed by Hui-Hsiung Kuo
- Publisher
- Springer
- Year
- 2006
- Tongue
- English
- Leaves
- 289
- Series
- Universitext
- Edition
- 1
- Category
- Library
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Also called Ito calculus, the theory of stochastic integration has applications in virtually every scientific area involving random functions. This introductory textbook provides a concise introduction to the Ito calculus. From the reviews: "Introduction to Stochastic Integration is exactly what t
<p><P>The theory of stochastic integration, also called the Ito calculus, has a large spectrum of applications in virtually every scientific area involving random functions, but it can be a very difficult subject for people without much mathematical background. The Ito calculus was originally motiva
<p><p>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.<