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Introduction to Stochastic Integration

Language EnglishEnglish
Book Paperback
Book Introduction to Stochastic Integration Hui-Hsiung Kuo
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
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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.

About the book

Full name Introduction to Stochastic Integration
Author Hui-Hsiung Kuo
Language English
Binding Book - Paperback
Date of issue 2005
Number of pages 279
EAN 9780387287201
ISBN 0387287205
Libristo code 04066812
Publishers Springer-Verlag New York Inc.
Weight 476
Dimensions 156 x 235 x 18

Categories

Mathematics & Science > Mathematics > Applied mathematics > Stochastics
Mathematics & Science > Mathematics > Probability & statistics
Economics, Finance, Business & Management > Finance & accounting
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