The Resource Introduction to Stochastic Integration, by K.L. Chung, R.J. Williams, (electronic resource)
Introduction to Stochastic Integration, by K.L. Chung, R.J. Williams, (electronic resource)
Resource Information
The item Introduction to Stochastic Integration, by K.L. Chung, R.J. Williams, (electronic resource) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.This item is available to borrow from 1 library branch.
Resource Information
The item Introduction to Stochastic Integration, by K.L. Chung, R.J. Williams, (electronic resource) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.
This item is available to borrow from 1 library branch.
 Summary
 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 FeynmanKac functional and theSchrödinger 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 CameronMartinGirsanov 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
 Language
 eng
 Edition
 Second edition 2014.
 Extent
 XVII, 276 pages 10 illustrations
 Contents

 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
 Isbn
 9781461495871
 Label
 Introduction to Stochastic Integration
 Title
 Introduction to Stochastic Integration
 Statement of responsibility
 by K.L. Chung, R.J. Williams
 Language
 eng
 Summary
 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 FeynmanKac functional and theSchrödinger 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 CameronMartinGirsanov 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
 Cataloging source
 ITFiEUI
 http://library.link/vocab/creatorDate
 19172009
 http://library.link/vocab/creatorName
 Chung, Kai Lai
 Image bit depth
 0
 Literary form
 non fiction
 http://library.link/vocab/relatedWorkOrContributorDate
 1955
 http://library.link/vocab/relatedWorkOrContributorName

 Williams, R. J.
 SpringerLink (Online service)
 Series statement

 Modern Birkhäuser Classics,
 Springer eBooks
 http://library.link/vocab/subjectName

 Mathematics
 Distribution (Probability theory)
 Label
 Introduction to Stochastic Integration, by K.L. Chung, R.J. Williams, (electronic resource)
 Antecedent source
 mixed
 Carrier category
 online resource
 Carrier category code

 cr
 Carrier MARC source
 rdacarrier.
 Color
 not applicable
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent.
 Contents
 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
 Control code
 9781461495871
 Dimensions
 unknown
 Edition
 Second edition 2014.
 Extent
 XVII, 276 pages 10 illustrations
 File format
 multiple file formats
 Form of item
 electronic
 Governing access note
 Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, noncommercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
 Isbn
 9781461495871
 Level of compression
 uncompressed
 Media category
 computer
 Media MARC source
 rdamedia.
 Media type code

 c
 Other control number
 10.1007/9781461495871
 Other physical details
 online resource.
 Quality assurance targets
 absent
 Reformatting quality
 access
 Specific material designation
 remote
 System control number
 (OCoLC)1058472822
 Label
 Introduction to Stochastic Integration, by K.L. Chung, R.J. Williams, (electronic resource)
 Antecedent source
 mixed
 Carrier category
 online resource
 Carrier category code

 cr
 Carrier MARC source
 rdacarrier.
 Color
 not applicable
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent.
 Contents
 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
 Control code
 9781461495871
 Dimensions
 unknown
 Edition
 Second edition 2014.
 Extent
 XVII, 276 pages 10 illustrations
 File format
 multiple file formats
 Form of item
 electronic
 Governing access note
 Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, noncommercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
 Isbn
 9781461495871
 Level of compression
 uncompressed
 Media category
 computer
 Media MARC source
 rdamedia.
 Media type code

 c
 Other control number
 10.1007/9781461495871
 Other physical details
 online resource.
 Quality assurance targets
 absent
 Reformatting quality
 access
 Specific material designation
 remote
 System control number
 (OCoLC)1058472822
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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.library.eui.eu/portal/IntroductiontoStochasticIntegrationbyK.L./OqlewpR2EI0/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.eui.eu/portal/IntroductiontoStochasticIntegrationbyK.L./OqlewpR2EI0/">Introduction to Stochastic Integration, by K.L. Chung, R.J. Williams, (electronic resource)</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.eui.eu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.eui.eu/">European University Institute</a></span></span></span></span></div>