Paperback. Also called Ito calculus, the theory of stochastic integration has applications in virtually every scientific area involving random functions. This introductory textbook provides a concise introduction to the Ito calculus. From the reviews: "Introduction to Stochastic Integration is exactly what the title says. I would maybe just add a 'friendly' introduction because of the clear presentation and flow of the contents." --THE MATHEMATICAL SCIENCES DIGITAL LIBRARY It was the beginning of the It o calculus, the counterpart of the LeibnizNewton calculus for random functions. The It o formula is the chain rule for the Itocalculus.Butitcannotbe expressed as in the LeibnizNewton calculus in terms of derivatives, since a Brownian motion path is nowhere di?erentiable. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.

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Titolo: Introduction to Stochastic Integration (Paperback)
Editore: Springer-Verlag New York Inc., New York, NY
Data di pubblicazione: 2005
Lingua: Inglese
ISBN 10: 0387287205
ISBN 13: 9780387287201
Rilegatura: Paperback
Edizione: prima edizione
Condizione: new

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Riassunto

Also called Ito calculus, the theory of stochastic integration has applications in virtually every scientific area involving random functions. This introductory textbook provides a concise introduction to the Ito calculus. From the reviews: "Introduction to Stochastic Integration is exactly what the title says. I would maybe just add a ‘friendly’ introduction because of the clear presentation and flow of the contents." --THE MATHEMATICAL SCIENCES DIGITAL LIBRARY

Informazioni sull?autore

Hui-Hsiung Kuo is the Nicholson Professor of Mathematics at Louisiana State University.

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