Home | Amazing | Today | Tags | Publishers | Years | Account | Search 
Introduction to Stochastic Integration (Modern Birkhäuser Classics)

Buy

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

(HTML tags aren't allowed.)

Newnes PC Troubleshooting Pocket Book
Newnes PC Troubleshooting Pocket Book
Newnes PC Troubleshooting Pocket Book provides a concise and compact reference that describes, in a clear and straightforward manner, the principles and practice of faultfinding and upgrading PCs and peripherals. The strong practical emphasis is backed up with many illustrations and examples of real-lie problems. The book is aimed at anyone who...
Java SE8 for the Really Impatient: A Short Course on the Basics (Java Series)
Java SE8 for the Really Impatient: A Short Course on the Basics (Java Series)

Eagerly anticipated by millions of programmers, Java SE 8 is the most important Java update in many years. The addition of lambda expressions (closures) and streams represents the biggest change to Java programming since the introduction of generics and annotations.

 

...
Essentials of Mathematical Methods in Science and Engineering
Essentials of Mathematical Methods in Science and Engineering

A complete introduction to the multidisciplinary applications of mathematical methods

In order to work with varying levels of engineering and physics research, it is important to have a firm understanding of key mathematical concepts such as advanced calculus, differential equations, complex analysis, and introductory mathematical...


Advanced Photoshop Elements 5.0 for Digital Photographers
Advanced Photoshop Elements 5.0 for Digital Photographers
Once you have mastered the fundamentals, this easy-to-follow, advanced guide takes you to new levels of expertise. Advance your skills and artistry far beyond the basics with expert guidance from the top industry insider to achieve professional-level results. Find innovative ways to exploit the new features of Elements 5.0 to achieve outstanding...
Design of Linear RF Outphasing Power Amplifiers
Design of Linear RF Outphasing Power Amplifiers
The wireless communications revolution has been driven by a confluence of technological advances, including improvements in communications theory, very large-scale integration (VLSI) technology, and radio frequency (RF) microelectronics. The microwave power amplifier represents one of the major factors in the low-cost and low-power implementation...
Solar Energy Projects for the Evil Genius
Solar Energy Projects for the Evil Genius
FOLLOW THE SUN TO MORE EVIL FUN!

Let the sun shine on your evil side - and have a wicked amount of fun on your way to becoming a solar energy master! In this guide, the popular Evil Genius format ramps up your understanding of powerful, important, and environmentally friendly solar energy - and shows you how to...

©2019 LearnIT (support@pdfchm.net) - Privacy Policy