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Introduction to Stochastic Integration

✍ Scribed by Hui-Hsiung Kuo

Publisher
Springer
Year
2005
Tongue
English
Leaves
290
Series
Universitext
Edition
1
Category
Library
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✦ Synopsis

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 the title says. I would maybe just add a β€˜friendly’ introduction because of the clear presentation and flow of the contents." --THE MATHEMATICAL SCIENCES DIGITAL LIBRARY

✦ Table of Contents

Cover......Page 1
Introduction to
Stochastic Integration......Page 3
Universitext......Page 2
ISBN-10: 0387287205......Page 4
Preface......Page 6
Contents......Page 10
1
Introduction......Page 13
2
Brownian Motion......Page 19
3
Constructions of Brownian Motion......Page 35
4
Stochastic Integrals......Page 49
5
An Extension of Stochastic Integrals......Page 73
6
Stochastic Integrals for Martingales......Page 87
7
The Ito Formula......Page 105
8
Applications of the Ito Formula......Page 127
9
Multiple Wiener–Ito Integrals......Page 159
10
Stochastic Differential Equations......Page 197
11
Some Applications and Additional Topics......Page 243
References......Page 279
Glossary of Notation......Page 283
Index......Page 285

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