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Introduction to Stochastic Integration

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.   Usin...

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Bibliographic Details
Main Authors: Chung, K.L. (Author, http://id.loc.gov/vocabulary/relators/aut), Williams, R.J. (http://id.loc.gov/vocabulary/relators/aut)
Corporate Author: SpringerLink (Online service)
Format: Electronic eBook
Language:English
Published: New York, NY : Springer New York : Imprint: Birkhäuser, 2014.
Edition:2nd ed. 2014.
Series:Modern Birkhäuser Classics,
Subjects:
Probabilities.
Probability Theory and Stochastic Processes.
Online Access:https://doi.org/10.1007/978-1-4614-9587-1
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Table of Contents:
  • 1 Preliminaries
  • 2 Definition of the Stochastic Integral
  • 3 Extension of the Predictable Integrands
  • 4 Quadratic Variation Process
  • 5 The Ito Formula
  • 6 Applications of the Ito Formula
  • 7 Local Time and Tanaka's Formula
  • 8 Reflected Brownian Motions
  • 9 Generalization Ito Formula, Change of Time and Measure
  • 10 Stochastic Differential Equations
  • References
  • Index.

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