Introduction to Stochastic Integration

This highly readable introduction to stochastic integration and stochastic differential equations combines developments of the basic theory with applications. It is a softcover reprint of a classic, graduate-level textbook. Includes exercises.

Affordable, softcover reprint of a classic textbook Authors' exposition consistently chooses clarity over brevity Includes an expanded collection of exercises from the first edition Includes supplementary material: sn.pub/extras

Autorentext

Professor Chung and Professor Williams

Inhalt
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.