| 書目名稱 | Introduction to Stochastic Integration |
| 編輯 | K.L. Chung,R.J. Williams |
| 視頻video | http://file.papertrans.cn/475/474228/474228.mp4 |
| 概述 | 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 supplemen |
| 叢書名稱 | Modern Birkh?user Classics |
| 圖書封面 |  |
| 描述 | .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?Schr?dinger 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 willbe 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 m |
| 出版日期 | Textbook 20142nd edition |
| 關(guān)鍵詞 | Brownian motion; Schr?dinger equation; martingales; stochastic differential equations; stochastic integr |
| 版次 | 2 |
| doi | https://doi.org/10.1007/978-1-4614-9587-1 |
| isbn_softcover | 978-1-4614-9586-4 |
| isbn_ebook | 978-1-4614-9587-1Series ISSN 2197-1803 Series E-ISSN 2197-1811 |
| issn_series | 2197-1803 |
| copyright | Springer Science+Business Media New York 2014 |
|Archiver|手機(jī)版|小黑屋|
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