Coverart for item
The Resource Introduction to stochastic integration, K.L. Chung, R.J. Williams

Introduction to stochastic integration, K.L. Chung, R.J. Williams

Label
Introduction to stochastic integration
Title
Introduction to stochastic integration
Statement of responsibility
K.L. Chung, R.J. Williams
Creator
Contributor
Subject
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 Feynman--Kac 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 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
Member of
Cataloging source
GW5XE
http://library.link/vocab/creatorDate
1917-2009
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
Instantiates
Publication
Copyright
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
10.1007/978-1-4614-9587-1
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
Publication
Copyright
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
10.1007/978-1-4614-9587-1
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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