Introduction to stochastic integration
The theory of stochastic integration, also called the Ito calculus, has a large spectrum of applications in virtually every scientific area involving random functions, but it can be a very difficult subject for people without much mathematical background. The Ito calculus was originally motivated by...
Guardat en:
| Autor principal: | |
|---|---|
| Format: | Livre numérique |
| Idioma: | Anglais |
| Publicat: |
Cham :
Springer international publishing
[20..].
Cham : Springer Nature |
| Col·lecció: | Universitext
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| Matèries: | |
| Accés en línia: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Introduction to stochastic integration, Hui-Hsiung Kuo, 2006, New York, Springer, 1 vol. (XIII-278 p.), Universitext, 0-387-28720-5 |
Taula de continguts:
- Brownian Motion
- Constructions of Brownian Motion
- Stochastic Integrals
- An Extension of Stochastic Integrals
- Stochastic Integrals for Martingales
- The Itô Formula
- Applications of the Itô Formula
- Multiple Wiener-Itô Integrals
- Stochastic Differential Equations
- Some Applications and Additional Topics