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Introduction to stochastic integration

Author: Kai Lai Chung; R J Williams
Publisher: Boston : Birkhäuser, ©1990.
Series: Probability and its applications.
Edition/Format:   Print book : English : 2nd edView all editions and formats
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This softcover reprint of a classic textbook offers a highly readable introduction to stochastic integration and stochastic differential equations. It combines developments of the basic theory with  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Kai Lai Chung; R J Williams
ISBN: 0817633863 9780817633868 3764333863 9783764333867
OCLC Number: 21949793
Description: xv, 276 pages : illustrations ; 24 cm.
Contents: Abbreviations and symbols --
Notations and conventions --
Definition of the stochastic integral --
Extension of the predictable integrands --
Quadratic variation process --
The ITO formula --
Applications of the ITO formula --
Local time and Tanaka's formula --
Reflected Brownian motions --
Generalized ITO formula, change of time and measure --
Stochastic differential equations.
Series Title: Probability and its applications.
Responsibility: K.L. Chung, R.J. Williams.
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"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

 
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