Introduction to Stochastic Integration - Second Edition
β Scribed by Kai Lai Chung, Ruth J. Williams
- Publisher
- BirkhΓ€user
- Year
- 1990
- Tongue
- English
- Leaves
- 293
- Series
- Probability and its applications'',
- Edition
- 2nd
- Category
- Library
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Emphasizing fundamental mathematical ideas rather than proofs, Introduction to Stochastic Processes, Second Edition provides quick access to important foundations of probability theory applicable to problems in many fields. Assuming that you have a reasonable level of computer literacy, the ability
INTRODUCTION DISCRETE-TIME MODELS Discrete-time formalismMartingales and arbitrage opportunities Complete markets and option pricing Problem: Cox, Ross and Rubinstein model OPTIMAL STOPPING PROBLEM AND AMERICAN OPTIONS Stopping time The Snell envelope Decomposition of supermartingales Snell envelope
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
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