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.
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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
 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
 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
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