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. This introductory textbook on stochastic integration provides a concise introduction to the Ito calculus, and covers the constructions of Brownian motion, stochastic integrals for Brownian motion and martingales, the Ito formula, multiple Wiener-Ito integrals, stochastic differential equations, and applications to finance, filtering theory, and electric circuits.
| Autor: | Kuo, Hui-Hsiung |
|---|---|
| ISBN: | 9780387287201 |
| Sprache: | Englisch |
| Seitenzahl: | 279 |
| Produktart: | Kartoniert / Broschiert |
| Verlag: | Springer US |
| Veröffentlicht: | 15.11.2005 |
| Schlagworte: | Brownian motion Gaussian measure Martingale Measure Probability theory Stochastic Differential Equations diffusion process linear optimization quantitative finance random function |