introduction stochastic integration von kuo hui hsiung (7 Ergebnisse)

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Zustand: Sehr gut. Formateinband: Broschierte Ausgabe XIII, 278 S. (23,5 cm) 1st Edition; Sehr guter Zustand. Sprache: Englisch Gewicht in Gramm: 600 [Stichwörter: Stochastik, Stochastische Integration, Brownian Motion, Stochastic Integrals for Martingales, The Ito-Formula, Multiple Wiener-Ito Integrals, Stochastic Differential Equations etc.].

Paperback. Zustand: As new. Titel: Introduction to Stochastic Integration. Jaar van uitgave: 2006. Taal: Engels. Lichte gebruik-/opslagsporen.

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Taschenbuch. Zustand: Neu. Neuware -In the Leibniz¿Newton calculus, one learns the di erentiation and integration of deterministic functions. A basic theorem in di erentiation is the chain rule, which gives the derivative of a composite of two di erentiable functions. The chain rule, when written in an inde nite integral form, yields the method of substitution. In advanced calculus, the Riemann¿Stieltjes integral is de ned through the same procedure of ¿partition-evaluation-summation-limit¿ as in the Riemann integral. In dealing with random functions such as functions of a Brownian motion, the chain rule for the Leibniz¿Newton calculus breaks down. A Brownian motionmovessorapidlyandirregularlythatalmostallofitssamplepathsare nowhere di erentiable. Thus we cannot di erentiate functions of a Brownian motion in the same way as in the Leibniz¿Newton calculus. In 1944 Kiyosi It¿ o published the celebrated paper ¿Stochastic Integral¿ in the Proceedings of the Imperial Academy (Tokyo). It was the beginning of the It¿ o calculus, the counterpart of the Leibniz¿Newton calculus for random functions. In this six-page paper, It¿ o introduced the stochastic integral and a formula, known since then as It¿ ös formula. The It¿ o formula is the chain rule for the It¿ocalculus.Butitcannotbe expressed as in the Leibniz¿Newton calculus in terms of derivatives, since a Brownian motion path is nowhere di erentiable. The It¿ o formula can be interpreted only in the integral form. Moreover, there is an additional term in the formula, called the It¿ o correction term, resulting from the nonzero quadratic variation of a Brownian motion.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 296 pp. Englisch.

Taschenbuch. Zustand: Neu. Introduction to Stochastic Integration | Hui-Hsiung Kuo | Taschenbuch | xiii | Englisch | 2005 | Copernicus | EAN 9780387287201 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu.

Taschenbuch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - In the Leibniz-Newton calculus, one learns the di erentiation and integration of deterministic functions. A basic theorem in di erentiation is the chain rule, which gives the derivative of a composite of two di erentiable functions. The chain rule, when written in an inde nite integral form, yields the method of substitution. In advanced calculus, the Riemann-Stieltjes integral is de ned through the same procedure of 'partition-evaluation-summation-limit' as in the Riemann integral. In dealing with random functions such as functions of a Brownian motion, the chain rule for the Leibniz-Newton calculus breaks down. A Brownian motionmovessorapidlyandirregularlythatalmostallofitssamplepathsare nowhere di erentiable. Thus we cannot di erentiate functions of a Brownian motion in the same way as in the Leibniz-Newton calculus. In 1944 Kiyosi It o published the celebrated paper 'Stochastic Integral' in the Proceedings of the Imperial Academy (Tokyo). It was the beginning of the It o calculus, the counterpart of the Leibniz-Newton calculus for random functions. In this six-page paper, It o introduced the stochastic integral and a formula, known since then as It o's formula. The It o formula is the chain rule for the It ocalculus.Butitcannotbe expressed as in the Leibniz-Newton calculus in terms of derivatives, since a Brownian motion path is nowhere di erentiable. The It o formula can be interpreted only in the integral form. Moreover, there is an additional term in the formula, called the It o correction term, resulting from the nonzero quadratic variation of a Brownian motion.