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Hui-Hsiung Kuo - Introduction to Stochastic Integration (Universitext) - 9780387287201 - V9780387287201
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Introduction to Stochastic Integration (Universitext)

€ 86.65
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Description for Introduction to Stochastic Integration (Universitext) Paperback. Also called Ito calculus, the theory of stochastic integration has applications in virtually every scientific area involving random functions. This book provides an introduction to the Ito calculus. Series: Universitext. Num Pages: 279 pages, 2 black & white illustrations, 2 black & white tables, biography. BIC Classification: PBWL. Category: (UU) Undergraduate. Dimension: 235 x 156 x 18. Weight in Grams: 434.
In the Leibniz–Newton calculus, one learns the di?erentiation and integration of deterministic functions. A basic theorem in di?erentiation is the chain rule, which gives the derivative of a composite of two di?erentiable functions. The chain rule, when written in an inde?nite integral form, yields the method of substitution. In advanced calculus, the Riemann–Stieltjes integral is de?ned through the same procedure of “partition-evaluation-summation-limit” as in the Riemann integral. In dealing with random functions such as functions of a Brownian motion, the chain rule for the Leibniz–Newton calculus breaks down. A Brownian motionmovessorapidlyandirregularlythatalmostallofitssamplepathsare nowhere di?erentiable. Thus we cannot di?erentiate functions of a ... Read more

Product Details

Publisher
Springer
Format
Paperback
Publication date
2005
Series
Universitext
Condition
New
Number of Pages
279
Place of Publication
New York, NY, United States
ISBN
9780387287201
SKU
V9780387287201
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15

Reviews for Introduction to Stochastic Integration (Universitext)
From the reviews: "This textbook is a self-contained and systematic introduction to Itô’s stochastic integration with respect to martingales. The author gives special emphasis to the Brownian motion case. … Exercises are given in each chapter." (Jorge A. León, Mathematical Reviews, Issue 2006 e) "Introduction to Stochastic Integration is exactly what the title ... Read more

Goodreads reviews for Introduction to Stochastic Integration (Universitext)


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