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Itō Calculus: Stochastic process, Brownian motion, Riemann sum, Mathematical finance, Stochastic differential equation - Couverture souple

 
9786132781512: Itō Calculus: Stochastic process, Brownian motion, Riemann sum, Mathematical finance, Stochastic differential equation
Couverture souple
ISBN 10 : 613278151X ISBN 13 : 9786132781512
Editeur : Alphascript Publishing, 2010

Synopsis

Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. ItÅ calculus, named after Kiyoshi ItÅ, extends the methods of calculus to stochastic processes such as Brownian motion (Wiener process). It has important applications in mathematical finance and stochastic differential equations. The central concept is the ItÅ stochastic integral. This is a generalization of the ordinary concept of a Riemann–Stieltjes integral. The generalization is in two respects. Firstly, we are now dealing with random variables (more precisely, stochastic processes). Secondly, we are integrating with respect to a non-differentiable function (technically, stochastic process).

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
Alphascript Publishing
Date d'édition
2010
Langue
anglais
ISBN 10 
613278151X
ISBN 13 
9786132781512
Reliure
Broché
Nombre de pages
72
Éditeur
Miller Frederic P., Vandome Agnes F., McBrewster John
Coordonnées du fabricant
non disponible
Personne responsable
non disponible