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Introduction to Stochastic Integration(2005) 요약정보 및 구매

상품 선택옵션 0 개, 추가옵션 0 개

사용후기 0 개
지은이 Kuo
발행년도 2005-11-15
판수 1 edition판
페이지 279
ISBN 9780387287201
도서상태 구매가능
판매가격 93,000원
포인트 0점
배송비결제 주문시 결제

선택된 옵션

  • Introduction to Stochastic Integration(2005)
    +0원
총 금액 : 93,000원
위시리스트

관련상품

  • The theory of stochastic integration, also called the Ito calculus, has a large spectrum of applications in virtually every scientific area involving random functions, but it can be a very difficult subject for people without much mathematical background. The Ito calculus was originally motivated by the construction of Markov diffusion processes from infinitesimal generators. Previously, the construction of such processes required several steps, whereas Ito constructed these diffusion processes directly in a single step as the solutions of stochastic integral equations associated with the infinitesimal generators. Moreover, the properties of these diffusion processes can be derived from the stochastic integral equations and the Ito formula. This introductory textbook on stochastic integration provides a concise introduction to the Ito calculus, and covers the following topics: * Constructions of Brownian motion; * Stochastic integrals for Brownian motion and martingales; * The Ito formula; * Multiple Wiener-Ito integrals; * Stochastic differential equations; * Applications to finance, filtering theory, and electric circuits. The reader should have a background in advanced calculus and elementary probability theory, as well as a basic knowledge of measure theory and Hilbert spaces. Each chapter ends with a variety of exercises designed to help the reader further understand the material. Hui-Hsiung Kuo is the Nicholson Professor of Mathematics at Louisiana State University. He has delivered lectures on stochastic integration at Louisiana State University, Cheng Kung University, Meijo University, and University of Rome "Tor Vergata," among others. He is also the author of Gaussian Measures in Banach Spaces (Springer 1975), and White Noise Distribution Theory (CRC Press 1996), and a memoir of his childhood growing up in Taiwan, An Arrow Shot into the Sun (Abridge Books 2004). 

선택된 옵션

  • Introduction to Stochastic Integration(2005)
    +0원