About this book
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 Itô’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 Schrödinger 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 will be 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 mathematical progress over the last decades and that stochastic calculus has become one of the most powerful tools in modern probability theory.
—Journal of the American Statistical Association
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.
- Book Title Introduction to Stochastic Integration
- Series Title Probability and Its Applications
- DOI https://doi.org/10.1007/978-1-4612-4480-6
- Copyright Information Birkhäuser Boston 1990
- Publisher Name Birkhäuser Boston
- eBook Packages Springer Book Archive
- Hardcover ISBN 978-0-8176-3386-8
- Softcover ISBN 978-1-4612-8837-4
- eBook ISBN 978-1-4612-4480-6
- Edition Number 2
- Number of Pages XVI, 278
- Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
Probability Theory and Stochastic Processes
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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."