Stoshastic processes and stochastic inte
β Pivato M.
π Library
π
1999
π English
β¦ LIBER β¦
π
Stochastic Calculus and Stochastic Models
β Scribed by E.J. McShane
- Publisher
- Academic Press Inc
- Year
- 1975
- Tongue
- English
- Leaves
- 245
- Series
- Probability & Mathematical Statistics Monograph
- Category
- Library
β¬ Acquire This Volume
No coin nor oath required. For personal study only.
β¦ Synopsis
Probability and Mathematical Statistics: A Series of Monographs and Textbooks: Stochastic Calculus and Stochastic Models focuses on the properties, functions, and applications of stochastic integrals.
The publication first ponders on stochastic integrals, existence of stochastic integrals, and continuity, chain rule, and substitution. Discussions focus on differentiation of a composite function, continuity of sample functions, existence and vanishing of stochastic integrals, canonical form, elementary properties of integrals, and the ItΓ΄-belated integral. The book then examines stochastic differential equations, including existence of solutions of stochastic differential equations, linear differential equations and their adjoints, approximation lemma, and the Cauchy-Maruyama approximation.
The manuscript takes a look at equations in canonical form, as well as justification of the canonical extension in stochastic modeling; rate of convergence of approximations to solutions; comparison of ordinary and stochastic differential equations; and invariance under change of coordinates.
The publication is a dependable reference for mathematicians and researchers interested in stochastic integrals.
β¦ Table of Contents
Content:
Probability and Mathematical Statistics: A Series of Monographs and Textbooks, Page ii
Front Matter, Page iii
Copyright, Page iv
PREFACE, Pages vii-viii
ACKNOWLEDGMENTS, Pages ix-x
I - Introduction, Pages 1-25
II - Stochastic Integrals, Pages 26-58
III - Existence of Stochastic Integrals, Pages 59-101
IV - Continuity, Chain Rule, and Substitution, Pages 102-151
V - Stochastic Differential Equations, Pages 152-179
VI - Equations in Canonical Form, Pages 180-234
References, Page 235
Subject Index, Pages 237-239
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