Articles liés à Introduction to Stochastic Integration
Synopsis
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 is developed for continuous martingales. Applications include a characterization of Brownian motion, Hermite polynomials of martingales, the Feynman–Kac functional and the Schrödinger equation. For Brownian motion, the topics of local time, reflected Brownian motion, and time change are discussed.
New to the second edition are a discussion of the Cameron–Martin–Girsanov transformation and a final chapter which provides an introduction to stochastic differential equations, as well as many exercises for classroom use.
This book willbe a valuable resource to all mathematicians, statisticians, economists, and engineers employing the modern tools of stochastic analysis.
The text also proves that stochastic integration has made an important impact on mathematical progress over the last decades and that stochastic calculus has become one of the most powerful tools in modern probability theory.
—Journal of the American Statistical Association
An attractive text…written in [a] lean and precise style…eminently readable. Especially pleasant are the care and attention devoted to details… A very fine book.
—Mathematical Reviews
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Professor Chung and Professor Williams
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Introduction to Stochastic Integration
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Springer New York, 2013
ISBN 10 : 1461495865
ISBN 13 : 9781461495864
Neuf
Couverture souple
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Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Affordable, softcover reprint of a classic textbookAuthors exposition consistently chooses clarity over brevityIncludes an expanded collection of exercises from the first editionA highly readable introduction to stochastic integ. N° de réf. du vendeur 4200041
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Introduction to Stochastic Integration
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Introduction to Stochastic Integration
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Introduction to Stochastic Integration
Edité par
Springer New York Nov 2013, 2013
ISBN 10 : 1461495865
ISBN 13 : 9781461495864
Neuf
Taschenbuch
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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 is developed for continuous martingales. Applications include a characterization of Brownian motion, Hermite polynomials of martingales, the Feynman-Kac functional and the Schrödinger equation. For Brownian motion, the topics of local time, reflected Brownian motion, and time change are discussed.New to the second edition are a discussion of the Cameron-Martin-Girsanov transformation and a final chapter which provides an introduction to stochastic differential equations, as well as many exercises for classroom use.This book will be a valuable resource to all mathematicians, statisticians, economists, and engineers employing the modern tools of stochastic analysis.The text also proves that stochastic integration has made an important impact on mathematical progress over the last decades and that stochastic calculus has become one of the most powerful tools in modern probability theory. -Journal of the American Statistical Association An attractive text.written in [a] lean and precise style.eminently readable. Especially pleasant are the care and attention devoted to details. A very fine book.-Mathematical Reviews 296 pp. Englisch. N° de réf. du vendeur 9781461495864
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Introduction to Stochastic Integration
Vendeur : GreatBookPrices, Columbia, MD, Etats-Unis
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Etat : New. N° de réf. du vendeur 20349435-n
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Introduction to Stochastic Integration
Edité par
Springer New York, Springer New York Nov 2013, 2013
ISBN 10 : 1461495865
ISBN 13 : 9781461495864
Neuf
Taschenbuch
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : Neu. Neuware -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 is developed for continuous martingales. Applications include a characterization of Brownian motion, Hermite polynomials of martingales, the Feynman¿Kac functional and theSchrödinger equation. For Brownian motion, the topics of local time, reflected Brownian motion, and time change are discussed.New to the second edition are a discussion of the Cameron¿Martin¿Girsanov transformation and a final chapter which provides an introduction to stochastic differential equations, as well as many exercises for classroom use.This book willbe a valuable resource to all mathematicians, statisticians, economists, and engineers employing the modern tools of stochastic analysis.The text also proves that stochastic integration has made an important impact on mathematical progress over the last decades and that stochastic calculus has become one of the most powerful tools in modern probability theory.¿Journal of the American Statistical AssociationAn attractive text¿written in [a] lean and precise style¿eminently readable. Especially pleasant are the care and attention devoted to details¿ A very fine book.¿Mathematical ReviewsSpringer Basel AG in Springer Science + Business Media, Heidelberger Platz 3, 14197 Berlin 296 pp. Englisch. N° de réf. du vendeur 9781461495864
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Introduction to Stochastic Integration
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - 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 is developed for continuous martingales. Applications include a characterization of Brownian motion, Hermite polynomials of martingales, the Feynman-Kac functional and the Schrödinger equation. For Brownian motion, the topics of local time, reflected Brownian motion, and time change are discussed.New to the second edition are a discussion of the Cameron-Martin-Girsanov transformation and a final chapter which provides an introduction to stochastic differential equations, as well as many exercises for classroom use.This book willbe a valuable resource to all mathematicians, statisticians, economists, and engineers employing the modern tools of stochastic analysis.The text also proves that stochastic integration has made an important impact on mathematical progress over the last decades and that stochastic calculus has become one of the most powerful tools in modern probability theory. -Journal of the American Statistical Association An attractive text.written in [a] lean and precise style.eminently readable. Especially pleasant are the care and attention devoted to details. A very fine book.-Mathematical Reviews. N° de réf. du vendeur 9781461495864
Quantité disponible : 1 disponible(s)