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Introduction to Stochastic Integration

K. L. Chung and R. J. Williams
Publisher: 
Birkhäuser
Publication Date: 
2013
Number of Pages: 
276
Format: 
Paperback
Edition: 
2
Series: 
Modern Birkhäuser Classics
Price: 
69.99
ISBN: 
9781461495864
Category: 
Monograph
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.​

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