The Resource Introduction to stochastic integration, K.L. Chung, R.J. Williams
Introduction to stochastic integration, K.L. Chung, R.J. Williams
Resource Information
The item Introduction to stochastic integration, K.L. Chung, R.J. Williams represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item Introduction to stochastic integration, K.L. Chung, R.J. Williams represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.
This item is available to borrow from 1 library branch.
 Summary
 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 FeynmanKac functional and theSchrödinger 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 CameronMartinGirsanov 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
 Language
 eng
 Edition
 Second edition.
 Extent
 1 online resource (xv, 276 pages)
 Note
 Reprint of the 1990 edition
 Contents

 Preliminaries
 Definition of the Stochastic Integral
 Extension of the Predictable Integrands
 Quadratic Variation Process
 The Ito Formula
 Applications of the Ito Formula
 Local Time and Tanaka's Formula
 Reflected Brownian Motions
 Generalization Ito Formula, Change of Time and Measure
 Stochastic Differential Equations
 Isbn
 9781461495864
 Label
 Introduction to stochastic integration
 Title
 Introduction to stochastic integration
 Statement of responsibility
 K.L. Chung, R.J. Williams
 Language
 eng
 Summary
 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 FeynmanKac functional and theSchrödinger 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 CameronMartinGirsanov 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
 Cataloging source
 GW5XE
 http://library.link/vocab/creatorDate
 19172009
 http://library.link/vocab/creatorName
 Chung, Kai Lai
 Dewey number
 519.2
 Illustrations
 illustrations
 Index
 index present
 LC call number
 QA274.22
 Literary form
 non fiction
 Nature of contents

 dictionaries
 bibliography
 http://library.link/vocab/relatedWorkOrContributorDate
 1955
 http://library.link/vocab/relatedWorkOrContributorName
 Williams, R. J.
 Series statement
 Modern Birkhäuser classics
 http://library.link/vocab/subjectName

 Stochastic integrals
 Martingales (Mathematics)
 Martingales (Mathematics)
 Stochastic integrals
 Label
 Introduction to stochastic integration, K.L. Chung, R.J. Williams
 Note
 Reprint of the 1990 edition
 Antecedent source
 unknown
 Bibliography note
 Includes bibliographical references and index
 Carrier category
 online resource
 Carrier category code

 cr
 Carrier MARC source
 rdacarrier
 Color
 multicolored
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 Contents
 Preliminaries  Definition of the Stochastic Integral  Extension of the Predictable Integrands  Quadratic Variation Process  The Ito Formula  Applications of the Ito Formula  Local Time and Tanaka's Formula  Reflected Brownian Motions  Generalization Ito Formula, Change of Time and Measure  Stochastic Differential Equations
 Control code
 863236627
 Dimensions
 unknown
 Edition
 Second edition.
 Extent
 1 online resource (xv, 276 pages)
 File format
 unknown
 Form of item
 online
 Isbn
 9781461495864
 Level of compression
 unknown
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other control number
 10.1007/9781461495871
 Other physical details
 illustrations.
 Quality assurance targets
 not applicable
 Reformatting quality
 unknown
 Sound
 unknown sound
 Specific material designation
 remote
 System control number
 (OCoLC)863236627
 Label
 Introduction to stochastic integration, K.L. Chung, R.J. Williams
 Note
 Reprint of the 1990 edition
 Antecedent source
 unknown
 Bibliography note
 Includes bibliographical references and index
 Carrier category
 online resource
 Carrier category code

 cr
 Carrier MARC source
 rdacarrier
 Color
 multicolored
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 Contents
 Preliminaries  Definition of the Stochastic Integral  Extension of the Predictable Integrands  Quadratic Variation Process  The Ito Formula  Applications of the Ito Formula  Local Time and Tanaka's Formula  Reflected Brownian Motions  Generalization Ito Formula, Change of Time and Measure  Stochastic Differential Equations
 Control code
 863236627
 Dimensions
 unknown
 Edition
 Second edition.
 Extent
 1 online resource (xv, 276 pages)
 File format
 unknown
 Form of item
 online
 Isbn
 9781461495864
 Level of compression
 unknown
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other control number
 10.1007/9781461495871
 Other physical details
 illustrations.
 Quality assurance targets
 not applicable
 Reformatting quality
 unknown
 Sound
 unknown sound
 Specific material designation
 remote
 System control number
 (OCoLC)863236627
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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.library.missouri.edu/portal/IntroductiontostochasticintegrationK.L./0oiLXbP4Cyw/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.missouri.edu/portal/IntroductiontostochasticintegrationK.L./0oiLXbP4Cyw/">Introduction to stochastic integration, K.L. Chung, R.J. Williams</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.missouri.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.missouri.edu/">University of Missouri Libraries</a></span></span></span></span></div>