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Introduction to Stochastic Integration
Paperback
Series: Universitext
Investing & FinanceGeneral MathematicsProbability & Statistics
ISBN13: 9780387287201
Publisher: Springer Nature
Published: Nov 15 2005
Pages: 279
Weight: 0.93
Height: 0.52 Width: 6.32 Depth: 9.20
Language: English
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.
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