Introduction to Stochastic Integration
A highly readable introduction to stochastic integration and stochastic differential equations, this book combines developments of the basic theory with applications. It is written in a style suitable for the text of a graduate course in stochastic calculus, following a course in probability. Usin...
| Main Authors: | , |
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| Corporate Author: | |
| Language: | English |
| Published: |
New York, NY :
Springer New York : Imprint: Birkhäuser,
2014.
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| Edition: | 2nd ed. 2014. |
| Series: | Modern Birkhäuser Classics,
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| Subjects: | |
| Online Access: | https://doi.org/10.1007/978-1-4614-9587-1 |
Table of Contents:
- 1 Preliminaries
- 2 Definition of the Stochastic Integral
- 3 Extension of the Predictable Integrands
- 4 Quadratic Variation Process
- 5 The Ito Formula
- 6 Applications of the Ito Formula
- 7 Local Time and Tanaka's Formula
- 8 Reflected Brownian Motions
- 9 Generalization Ito Formula, Change of Time and Measure
- 10 Stochastic Differential Equations
- References
- Index.