[PDF.49jj] Introduction to Stochastic Integration (Probability and Its Applications)

Introduction to Stochastic Integration (Probability and Its Applications)

[PDF.mm98] Introduction to Stochastic Integration (Probability and Its Applications)

Introduction to Stochastic Integration  Kai L. Chung, Ruth Williams epub
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 | #2742718 in Books |  Birkhäuser |  1990-01-01 | Original language:English | PDF # 1 |  9.21 x.75 x6.14l,1.31 | File type: PDF | 278 pages

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||35 of 36 people found the following review helpful.| An excellent introduction to Stochastic Integration|By Alan Bain|This book provides a very easy to read account of the development of the stochastic integral. While concentrating on integrators which are continuous local martingales, and thus lacking the full generality of treatment to be found in, for example Dellacherie
and Meyer, the basic constructions are all perfo| ||"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 s|From the Back Cove

This is a substantial expansion of the first edition. The last chapter on stochastic differential equations is entirely new, as is the longish section §9.4 on the Cameron-Martin-Girsanov formula. Illustrative examples in Chapter 10 include the warhorses attached to the names of L. S. Ornstein, Uhlenbeck and Bessel, but also a novelty named after Black and Scholes. The Feynman-Kac-Schrooinger development (§6.4) and the material on re­ flected Brownian motion...

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