| Description |
1 online resource (xix, 608 pages) |
| Series |
Oxford graduate texts in mathematics ; 14 |
|
Oxford graduate texts in mathematics ; 14.
|
| Contents |
Stochastic processes -- Stochastic integration with locally square-integrable martingales -- The structure of local martingales -- General theory of stochastic integration -- Some other theorems -- Ito?'s formula -- Processes with independent increments -- Results from measure theory -- Wiener processes -- Poisson processes |
| Summary |
This graduate level text covers the theory of stochastic integration, an important area of Mathematics with a wide range of applications, including financial mathematics and signal processing. - ;This graduate level text covers the theory of stochastic integration, an important area of Mathematics that has a wide range of applications, including financial mathematics and signal processing. Aimed at graduate students in Mathematics, Statistics, Probability, Mathematical Finance, and Economics, the book not only covers the theory of the stochastic integral in great depth but also presents the as |
| Bibliography |
Includes bibliographical references (pages 597-602) and index |
| Notes |
Print version record |
| Subject |
Stochastic integrals.
|
|
Martingales (Mathematics)
|
|
Stochastic processes.
|
|
Stochastic Processes
|
|
MATHEMATICS -- Probability & Statistics -- General.
|
|
Martingales (Mathematics)
|
|
Stochastic integrals
|
|
Stochastic processes
|
| Form |
Electronic book
|
| ISBN |
9780191526886 |
|
0191526886 |
|
