| 書(shū)目名稱 | Introduction to Stochastic Integration |
| 編輯 | K. L. Chung,R. J. Williams |
| 視頻video | http://file.papertrans.cn/475/474229/474229.mp4 |
| 概述 | Affordable, softcover reprint of a classic textbook.Authors‘ exposition consistently chooses clarity over brevity.Includes an expanded collection of exercises from the first edition |
| 叢書(shū)名稱 | Probability and Its Applications |
| 圖書(shū)封面 |  |
| 描述 | This is a substantial expansion of the first edition. The last chapter on stochastic differential equations is entirely new, as is the longish section §9.4 on the Cameron-Martin-Girsanov formula. Illustrative examples in Chapter 10 include the warhorses attached to the names of L. S. Ornstein, Uhlenbeck and Bessel, but also a novelty named after Black and Scholes. The Feynman-Kac-Schrooinger development (§6.4) and the material on re- flected Brownian motions (§8.5) have been updated. Needless to say, there are scattered over the text minor improvements and corrections to the first edition. A Russian translation of the latter, without changes, appeared in 1987. Stochastic integration has grown in both theoretical and applicable importance in the last decade, to the extent that this new tool is now sometimes employed without heed to its rigorous requirements. This is no more surprising than the way mathematical analysis was used historically. We hope this modest introduction to the theory and application of this new field may serve as a text at the beginning graduate level, much as certain standard texts in analysis do for the deterministic counterpart. No monograph is worthy of the |
| 出版日期 | Textbook 1990Latest edition |
| 關(guān)鍵詞 | Brownian motion; Martingale; Probability theory; Stochastic calculus; clsmbc; local martingale; local time |
| 版次 | 2 |
| doi | https://doi.org/10.1007/978-1-4612-4480-6 |
| isbn_softcover | 978-1-4612-8837-4 |
| isbn_ebook | 978-1-4612-4480-6Series ISSN 2297-0371 Series E-ISSN 2297-0398 |
| issn_series | 2297-0371 |
| copyright | Springer Science+Business Media New York 1990 |
|Archiver|手機(jī)版|小黑屋|
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