Introduction to stochastic integration
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The work Introduction to stochastic integration represents a distinct intellectual or artistic creation found in University of Missouri Libraries. This resource is a combination of several types including: Work, Language Material, Books.
The Resource
Introduction to stochastic integration
Resource Information
The work Introduction to stochastic integration represents a distinct intellectual or artistic creation found in University of Missouri Libraries. This resource is a combination of several types including: Work, Language Material, Books.
 Label
 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
 Dewey number
 519.2
 Illustrations
 illustrations
 Index
 index present
 LC call number
 QA274.22
 Literary form
 non fiction
 Nature of contents

 dictionaries
 bibliography
 Series statement
 Modern Birkhäuser classics
Context
Context of Introduction to stochastic integrationWork of
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