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Introduction to Stochastic Integration. 2nd ed. 2014

種類:
電子ブック
責任表示:
by K.L. Chung, R.J. Williams
出版情報:
New York, NY : Springer New York : Imprint: Birkhäuser, 2014
著者名:
シリーズ名:
Modern Birkhäuser Classics ;
ISBN:
9781461495871 [1461495873]  CiNii Books  Calil
注記:
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 Itô’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 mathema
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