Introduction to Stochastic Integration

K. L. Chung and R. J. Williams

Publisher:

Birkhäuser

Publication Date:

2013

Number of Pages:

276

Format:

Paperback

Edition:

Series:

Modern Birkhäuser Classics

Price:

69.99

ISBN:

9781461495864

Category:

Monograph

MAA Review
Table of Contents

We do not plan to review this book.

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.

Tags:

Stochastic Calculus