Description: Introduction to Stochastic Integration Please note: this item is printed on demand and will take extra time before it can be dispatched to you (up to 20 working days). Author(s): K.L. Chung, R.J. Williams Format: Paperback Publisher: Birkhauser Boston Inc, United States Imprint: Birkhauser Boston Inc ISBN-13: 9781461495864, 978-1461495864 Synopsis 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. Using the modern approach, the stochastic integral is defined for predictable integrands and local martingales; then It's change of variable formula is developed for continuous martingales. Applications include a characterization of Brownian motion, Hermite polynomials of martingales, the Feynman-Kac functional and the Schroedinger equation. For Brownian motion, the topics of local time, reflected Brownian motion, and time change are discussed. New to the second edition are a discussion of the Cameron-Martin-Girsanov transformation and a final chapter which provides an introduction to stochastic differential equations, as well as many exercises for classroom use. This book will be a valuable resource to all mathematicians, statisticians, economists, and engineers employing the modern tools of stochastic analysis. The text also proves that stochastic integration has made an important impact on mathematical progress over the last decades and that stochastic calculus has become one of the most powerful tools in modern probability theory. -Journal of the American Statistical Association An attractive text...written in [a] lean and precise style...eminently readable. Especially pleasant are the care and attention devoted to details... A very fine book. -Mathematical Reviews
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Book Title: Introduction to Stochastic Integration
Number of Pages: 276 Pages
Publication Name: Introduction to Stochastic Integration
Language: English
Publisher: Birkhauser Boston INC International Concepts
Item Height: 235 mm
Subject: Mathematics
Publication Year: 2013
Type: Textbook
Item Weight: 4511 g
Author: R.J. Williams, K.L. Chung
Item Width: 155 mm
Series: Modern Birkhauser Classics
Format: Paperback
