Ebook: Stochastic Integrals: An Introduction
- Tags: Probability Theory and Stochastic Processes, Integral Equations, Mathematics general
- Series: Advanced Lectures in Mathematics
- Year: 1990
- Publisher: Vieweg+Teubner Verlag
- Edition: 1
- Language: German
- pdf
Content:
Front Matter....Pages i-ix
Warming Up....Pages 1-27
Processes and Filtrations....Pages 28-41
Martingales....Pages 42-59
Localization and Approximation....Pages 60-75
The Stochastic Integral....Pages 76-110
Predictability....Pages 111-148
Semimartingales and Stochastic Differentials....Pages 149-178
Ito-Calculus....Pages 179-202
The Special Role of Brownian Motion....Pages 203-243
Change of Measures....Pages 244-261
Stochastic Differential Equations....Pages 262-281
Towards Diffusions....Pages 282-321
Back Matter....Pages 322-334
Content:
Front Matter....Pages i-ix
Warming Up....Pages 1-27
Processes and Filtrations....Pages 28-41
Martingales....Pages 42-59
Localization and Approximation....Pages 60-75
The Stochastic Integral....Pages 76-110
Predictability....Pages 111-148
Semimartingales and Stochastic Differentials....Pages 149-178
Ito-Calculus....Pages 179-202
The Special Role of Brownian Motion....Pages 203-243
Change of Measures....Pages 244-261
Stochastic Differential Equations....Pages 262-281
Towards Diffusions....Pages 282-321
Back Matter....Pages 322-334
....
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