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Introduction to Stochastic Integration

✍ Scribed by K. L. Chung, R. J. Williams (auth.)

Publisher
BirkhΓ€user Boston
Year
1983
Tongue
English
Leaves
201
Series
Progress in Probability and Statistics 4
Category
Library
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✦ Table of Contents

Front Matter....Pages i-xiii
Preliminaries....Pages 1-23
Definition of the Stochastic Integral....Pages 25-51
Extension of the Predictable Integrands....Pages 53-64
Quadratic Variation Process....Pages 65-84
The Ito Formula....Pages 85-103
Applications of the Ito Formula....Pages 105-126
Local Time and Tanaka’s Formula....Pages 127-142
Reflected Brownian Motions....Pages 143-171
Generalized Ito Formula and Change of Time....Pages 173-184
Back Matter....Pages 185-191

✦ Subjects

Probability Theory and Stochastic Processes

πŸ“œ SIMILAR VOLUMES

Introduction to Stochastic Integration
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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

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