The Resource Introduction to stochastic integration, HuiHsiung Kuo
Introduction to stochastic integration, HuiHsiung Kuo
Resource Information
The item Introduction to stochastic integration, HuiHsiung Kuo 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, HuiHsiung Kuo 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
 The theory of stochastic integration, also called the Ito calculus, has a large spectrum of applications in virtually every scientific area involving random functions, but it can be a very difficult subject for people without much mathematical background. The Ito calculus was originally motivated by the construction of Markov diffusion processes from infinitesimal generators. Previously, the construction of such processes required several steps, whereas Ito constructed these diffusion processes directly in a single step as the solutions of stochastic integral equations associated with the infinitesimal generators. Moreover, the properties of these diffusion processes can be derived from the stochastic integral equations and the Ito formula. This introductory textbook on stochastic integration provides a concise introduction to the Ito calculus, and covers the following topics: @* Constructions of Brownian motion; @* Stochastic integrals for Brownian motion and martingales; @* The Ito formula; @* Multiple WienerIto integrals; @* Stochastic differential equations; @* Applications to finance, filtering theory, and electric circuits. The reader should have a background in advanced calculus and elementary probability theory, as well as a basic knowledge of measure theory and Hilbert spaces. Each chapter ends with a variety of exercises designed to help the reader further understand the material. HuiHsiung Kuo is the Nicholson Professor of Mathematics at Louisiana State University. He has delivered lectures on stochastic integration at Louisiana State University, Cheng Kung University, Meijo University, and University of Rome "Tor Vergata," among others. He is also the author of Gaussian Measures in Banach Spaces (Springer 1975), and White Noise Distribution Theory (CRC Press 1996), and a memoir of his childhood growing up in Taiwan, An Arrow Shot into the Sun (Abridge Books 2004)
 Language
 eng
 Extent
 1 online resource (xiii, 278 pages).
 Contents

 Introduction
 Brownian motion
 Constructions of Brownian motion
 Stochastic integrals
 An extentions of stochastic integrals
 Stochastic integrals for martingales
 The Ito formula
 Multiple Wiener integrals
 Stochastic differential equations
 Applications to finance
 References
 Isbn
 9780387310572
 Label
 Introduction to stochastic integration
 Title
 Introduction to stochastic integration
 Statement of responsibility
 HuiHsiung Kuo
 Language
 eng
 Summary
 The theory of stochastic integration, also called the Ito calculus, has a large spectrum of applications in virtually every scientific area involving random functions, but it can be a very difficult subject for people without much mathematical background. The Ito calculus was originally motivated by the construction of Markov diffusion processes from infinitesimal generators. Previously, the construction of such processes required several steps, whereas Ito constructed these diffusion processes directly in a single step as the solutions of stochastic integral equations associated with the infinitesimal generators. Moreover, the properties of these diffusion processes can be derived from the stochastic integral equations and the Ito formula. This introductory textbook on stochastic integration provides a concise introduction to the Ito calculus, and covers the following topics: @* Constructions of Brownian motion; @* Stochastic integrals for Brownian motion and martingales; @* The Ito formula; @* Multiple WienerIto integrals; @* Stochastic differential equations; @* Applications to finance, filtering theory, and electric circuits. The reader should have a background in advanced calculus and elementary probability theory, as well as a basic knowledge of measure theory and Hilbert spaces. Each chapter ends with a variety of exercises designed to help the reader further understand the material. HuiHsiung Kuo is the Nicholson Professor of Mathematics at Louisiana State University. He has delivered lectures on stochastic integration at Louisiana State University, Cheng Kung University, Meijo University, and University of Rome "Tor Vergata," among others. He is also the author of Gaussian Measures in Banach Spaces (Springer 1975), and White Noise Distribution Theory (CRC Press 1996), and a memoir of his childhood growing up in Taiwan, An Arrow Shot into the Sun (Abridge Books 2004)
 Cataloging source
 GW5XE
 http://library.link/vocab/creatorDate
 1941
 http://library.link/vocab/creatorName
 Kuo, HuiHsiung
 Dewey number
 519.2/2
 Index
 index present
 Language note
 English
 LC call number
 QA274.22
 LC item number
 .K86 2006eb
 Literary form
 non fiction
 Nature of contents

 dictionaries
 bibliography
 NLM call number
 Online Book
 Series statement
 Universitext
 http://library.link/vocab/subjectName

 Stochastic integrals
 Martingales (Mathematics)
 Stochastic Processes
 Martingales (Mathematics)
 Stochastic integrals
 Martingales (Mathematics)
 Stochastic integrals
 Label
 Introduction to stochastic integration, HuiHsiung Kuo
 Bibliography note
 Includes bibliographical references (pages 267270) 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
 Introduction  Brownian motion  Constructions of Brownian motion  Stochastic integrals  An extentions of stochastic integrals  Stochastic integrals for martingales  The Ito formula  Multiple Wiener integrals  Stochastic differential equations  Applications to finance  References
 Control code
 209913511
 Dimensions
 unknown
 Extent
 1 online resource (xiii, 278 pages).
 Form of item
 online
 Isbn
 9780387310572
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other control number
 10.1007/0387310576
 http://library.link/vocab/ext/overdrive/overdriveId
 9780387287201
 Specific material designation
 remote
 System control number
 (OCoLC)209913511
 Label
 Introduction to stochastic integration, HuiHsiung Kuo
 Bibliography note
 Includes bibliographical references (pages 267270) 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
 Introduction  Brownian motion  Constructions of Brownian motion  Stochastic integrals  An extentions of stochastic integrals  Stochastic integrals for martingales  The Ito formula  Multiple Wiener integrals  Stochastic differential equations  Applications to finance  References
 Control code
 209913511
 Dimensions
 unknown
 Extent
 1 online resource (xiii, 278 pages).
 Form of item
 online
 Isbn
 9780387310572
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other control number
 10.1007/0387310576
 http://library.link/vocab/ext/overdrive/overdriveId
 9780387287201
 Specific material designation
 remote
 System control number
 (OCoLC)209913511
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