Introduction to Stochastic Integration

by Ruth J. Williams and Kai Lai Chung

Book Overview

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 It's change of variable formula...

• Format: Paperback
• Language: English
• ISBN: 1461495865
• ISBN13: 9781461495864
• Release Date: November 2013
• Publisher: Birkhauser
• Length: 276 Pages
• Weight: 0.93 lbs.
• Dimensions: 0.6" x 6.1" x 9.2"