Introduction to Stochastic Integration

2006
ISBN: 978-0-387-28720-1
Verlag: Springer

Buch, Englisch, 279 Seiten, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 452 g

Reihe: Universitext

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.

Zielgruppe

Research

Autoren/Hrsg.

Kuo, Hui-Hsiung

Fachgebiete

• Mathematik | Informatik Mathematik Mathematische Analysis Differentialrechnungen und -gleichungen
• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
• Mathematik | Informatik Mathematik Mathematische Analysis Integralrechnungen- und -gleichungen

Inhaltsverzeichnis

Brownian Motion.- Constructions of Brownian Motion.- Stochastic Integrals.- An Extension of Stochastic Integrals.- Stochastic Integrals for Martingales.- The Itô Formula.- Applications of the Itô Formula.- Multiple Wiener-Itô Integrals.- Stochastic Differential Equations.- Some Applications and Additional Topics.