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 Feynman--Kac 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 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
- 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 Feynman--Kac 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 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
- Cataloging source
- IT-FiEUI
- http://library.link/vocab/creatorDate
- 1917-2009
- 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
- 978-1-4614-9587-1
- 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, non-commercial 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
- 10.1007/978-1-4614-9587-1
- 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
- 978-1-4614-9587-1
- 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, non-commercial 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
- 10.1007/978-1-4614-9587-1
- 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 fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.eui.eu/portal/Introduction-to-Stochastic-Integration-by-K.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/Introduction-to-Stochastic-Integration-by-K.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>