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Introduction to Stochastic Integration

Name: Introduction to Stochastic Integration
Brand: Springer-Verlag New York Inc.
SKU: 04066812
Price: 73.69 EUR
Availability: InStock
Author: Hui-Hsiung Kuo
ISBN: 9780387287201

Hui-Hsiung Kuo

Language

English

Book Paperback

Libristo code: 04066812

Publishers Springer-Verlag New York Inc., November 2005

This book is an accessible introduction to stochastic integration for students with background in ad... Full description

Libristo code: 04066812

180 b

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This book is an accessible introduction to stochastic integration for students with background in advanced calculus and elementary probability theory. Further, the author incorporates methods from measure theory as well as a bit of elementary Hilbert space theory as applied to L2 spaces. There are clear examples used to motivate the concepts and to illustrate the theorems, along with many exercises at the end of each chapter. Topics include constructions of Brownian motion, the Ito formula, stochastic integrals for martingales, and stochastic differential equations. This text is based on lectures first given in 1998, and has been used since then for courses taught by the author at Louisiana State University.