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Více informací o knize Introduction to Stochastic Integration

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• Anotace
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Anotace knihy

This book is an accessible introduction to stochastic integration for students with background in advanced calculus and elementary probability theory. Further, the author incorporates methods from measure theory as well as a bit of elementary Hilbert space theory as applied to L2 spaces. There are clear examples used to motivate the concepts and to illustrate the theorems, along with many exercises at the end of each chapter. Topics include constructions of Brownian motion, the Ito formula, stochastic integrals for martingales, and stochastic differential equations. This text is based on lectures first given in 1998, and has been used since then for courses taught by the author at Louisiana State University.

Parametry knihy

Zařazení knihy Knihy v angličtině Mathematics & science Mathematics Applied mathematics

• Plný název: Introduction to Stochastic Integration
• Autor: Hui-Hsiung Kuo
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 279
• EAN: 9780387287201
• ISBN: 0387287205
• ID: 04066812
• Nakladatelství: Springer-Verlag New York Inc.
• Hmotnost: 476 g
• Rozměry: 235 × 156 × 18 mm
• Datum vydání: 15. November 2005

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