An Introduction to Stochastic Integration (Probability and Its Applications)
Chung, K. L.
ISBN 10: 0817633863 ISBN 13: 9780817633868
Verlag: Birkhauser, 1990
Gebraucht
Hardcover
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Beschreibung
Beschreibung:
This is an ex-library book and may have the usual library/used-book markings inside.This book has hardback covers. In good all round condition. No dust jacket. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,650grams, ISBN:0817633863. Bestandsnummer des Verkäufers 5841890
Inhaltsangabe:
A highly readable introduction to stochastic integration and stochastic differential equations, this book combines developments of the basic theory with applications. It is written in a style suitable for the text of a graduate course in stochastic calculus, following a course in probability.
Using the modern approach, the stochastic integral is defined for predictable integrands and local martingales; then Itô's change of variable formula is developed for continuous martingales. Applications include a characterization of Brownian motion, Hermite polynomials of martingales, the Feynman-Kac functional and Schrödinger equation. For Brownian motion, the topics of local time, reflected Brownian motion, and time change are discussed.
New to the second edition are a discussion of the Cameron-Martin-Girsanov transformation and a final chapter which provides an introduction to stochastic differential equations, as well as many exercises for classroom use.
This book will be a valuable resource to all mathematicians, statisticians, economists, and engineers employing the modern tools of stochastic analysis.
The text also proves that stochastic integration has made an important impact on mathematical progress over the last decades and that stochastic calculus has become one of the most powerful tools in modern probability theory.
-Journal of the American Statistical Association
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An attractive text...written in [a] lean and precise style...eminently readable. Especially pleasant are the care and attention devoted to details... A very fine book.
-Mathematical Reviews
Von der hinteren Coverseite:
A highly readable introduction to stochastic integration and stochastic differential equations, this book combines developments of the basic theory with applications. It is written in a style suitable for the text of a graduate course in stochastic calculus, following a course in probability.
Using the modern approach, the stochastic integral is defined for predictable integrands and local martingales; then Itô s change of variable formula is developed for continuous martingales. Applications include a characterization of Brownian motion, Hermite polynomials of martingales, the Feynman-Kac functional and Schrödinger equation. For Brownian motion, the topics of local time, reflected Brownian motion, and time change are discussed.
New to the second edition are a discussion of the Cameron-Martin-Girsanov transformation and a final chapter which provides an introduction to stochastic differential equations, as well as many exercises for classroom use.
This book will be a valuable resource to all mathematicians, statisticians, economists, and engineers employing the modern tools of stochastic analysis.
The text also proves that stochastic integration has made an important impact on mathematical progress over the last decades and that stochastic calculus has become one of the most powerful tools in modern probability theory.
Journal of the American Statistical Association
An attractive text written in [a] lean and precise style eminently readable. Especially pleasant are the care and attention devoted to details A very fine book.
Mathematical Reviews
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Bibliografische Details
Titel: An Introduction to Stochastic Integration (...
Verlag: Birkhauser
Erscheinungsdatum: 1990
Einband: Hardcover
Zustand: Good
Auflage: 2. Auflage
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