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 Schroedinger 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
- ISBN:
- 9781461495864
- 9781461495864
-
Category:
- Probability & statistics
- Format:
- Paperback
- Publication Date:
-
10-11-2013
- Language:
- English
- Publisher:
- Birkhauser Boston Inc
- Country of origin:
- United States
- Edition:
- 2nd Edition
- Pages:
- 276
- Dimensions (mm):
- 235x155x16mm
- Weight:
- 4.51kg
This title is in stock with our Australian supplier and should arrive at our Sydney warehouse within 2 - 3 weeks of you placing an order.
Once received into our warehouse we will despatch it to you with a Shipping Notification which includes online tracking.
Please check the estimated delivery times below for your region, for after your order is despatched from our warehouse:
ACT Metro: 2 working days
NSW Metro: 2 working days
NSW Rural: 2-3 working days
NSW Remote: 2-5 working days
NT Metro: 3-6 working days
NT Remote: 4-10 working days
QLD Metro: 2-4 working days
QLD Rural: 2-5 working days
QLD Remote: 2-7 working days
SA Metro: 2-5 working days
SA Rural: 3-6 working days
SA Remote: 3-7 working days
TAS Metro: 3-6 working days
TAS Rural: 3-6 working days
VIC Metro: 2-3 working days
VIC Rural: 2-4 working days
VIC Remote: 2-5 working days
WA Metro: 3-6 working days
WA Rural: 4-8 working days
WA Remote: 4-12 working days
Share This Book: