Introduction to Stochastic Integration by Hui-Hsiung Kuo

Introduction to Stochastic Integration by Hui-Hsiung Kuo

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.

From the reviews:

"This textbook is a self-contained and systematic introduction to Itô’s stochastic integration with respect to martingalesThe author gives special emphasis to the Brownian motion case. … Exercises are given in each chapter." (Jorge A. León, Mathematical Reviews, Issue 2006 e)

"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. … Given its clear structure and composition, the book could be useful for a short course on stochastic integration. The concepts are easy to grasp … . Problems are given in each chapter and naturally are proof-based." (Ita Cirovic Donev, The Mathematical Sciences Digital Library, June, 2006)

"This is a very good book on stochastic integration covering subjects from a construction of a Brownian motion to stochastic differential equations. It grew up from lecture notes the author elaborated during several years, and can be equally well used for teaching and self-education. The text is extremely clear and concise both in language and mathematical notation. Every topic is illustrated by simple and motivating examples. … is a timely, happily designed and well written book. It will be useful for unprepared and advanced readers." (Ilya Pavlyukevich, Zentralblatt MATH, Vol. 1101 (3), 2007)

"This book covers stochastic integration with respect to square-integrable martingales. … I am sure that this book will be very welcomed by students and lectures of this subject … who will find many illustrative exercises provided. Reader also should not miss out on the Preface, which includes some anecdotes about K. Itô." (Thorsten Rheinländer, Journal of the American Statistical Association, Vol. 103 (483), September, 2008)

SKU	Nicht verfügbar
ISBN 13	9780387287201
ISBN 10	0387287205
Titel	Introduction to Stochastic Integration
Autor	Hui-Hsiung Kuo
Serie	Universitext
Buchzustand	Nicht verfügbar
Bindungsart	Paperback
Verlag	Springer-Verlag New York Inc.
Erscheinungsjahr	2005-11-15
Seitenanzahl	279
Hinweis auf dem Einband	Die Abbildung des Buches dient nur Illustrationszwecken, die tatsächliche Bindung, das Cover und die Auflage können sich davon unterscheiden.
Hinweis	Nicht verfügbar