Toward a Stochastic Calculus, I
โ Scribed by E. J. McShane
- Book ID
- 123648936
- Publisher
- National Academy of Sciences
- Year
- 1969
- Tongue
- English
- Weight
- 594 KB
- Volume
- 63
- Category
- Article
- ISSN
- 0027-8424
- DOI
- 10.2307/59254
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
These notes provide a very informal introduction to Stochastic Calculus, and especially to the Ito integral and some of its applications. The text concentrates on the parts of the course which the author found hard, there is often little or no comment on more standard matters.
This compact yet thorough text zeros in on the parts of the theory that are particularly relevant to applications . It begins with a description of Brownian motion and the associated stochastic calculus, including their relationship to partial differential equations. It solves stochastic differentia