Introduction to Stochastic Calculus

By Rajeeva L. Karandikar and B.V. Rao

Book Overview

Defines quadratic variation of a square integrable martingale
Demonstrates pathwise formulae for the stochastic integral
Uses the technique of random time change to study the solution of a stochastic differential equation
Studies the predictable increasing process to introduce predictable stopping times and prove the Doob Meyer decomposition theorem
Is useful for a two-semester graduate level course on measure theory and probability

• Format: Hardcover
• Language: English
• ISBN: 9811083177
• ISBN13: 9789811083174
• Release Date: June 2018
• Publisher: Springer
• Length: 441 Pages
• Weight: 1.79 lbs.
• Dimensions: 1.0" x 6.1" x 9.2"