Your cart

Your cart is empty

Books > Science & Mathematics > Mathematics > Probability & statistics

Buy Now

Introduction to Stochastic Integration (Paperback, 2nd ed. 1990) Loot Price: R1,503
Discovery Miles 15 030
Introduction to Stochastic Integration (Paperback, 2nd ed. 1990): Kai Lai Chung, Ruth J. Williams

Introduction to Stochastic Integration (Paperback, 2nd ed. 1990)

Kai Lai Chung, Ruth J. Williams

Series: Probability and Its Applications

 (sign in to rate)
Loot Price R1,503 Discovery Miles 15 030 | Repayment Terms: R140 pm x 12*

Bookmark and Share

Expected to ship within 7 - 11 working days

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 Ito 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 Schrodinger 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

" horizontal dagger separator] "

"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"


Imprint: Springer-Verlag New York
Country of origin: United States
Series: Probability and Its Applications
Release date: September 2011
First published: 1990
Authors: Kai Lai Chung • Ruth J. Williams
Dimensions: 235 x 155 x 16mm (L x W x T)
Format: Paperback
Pages: 278
Edition: 2nd ed. 1990
ISBN-13: 978-1-4612-8837-4
Categories: Books > Science & Mathematics > Mathematics
Books > Science & Mathematics > Mathematics > Probability & statistics
LSN: 1-4612-8837-1
Barcode: 9781461288374

Is the information for this product incomplete, wrong or inappropriate? Let us know about it.

Does this product have an incorrect or missing image? Send us a new image.

Is this product missing categories? Add more categories.

Review This Product

No reviews yet - be the first to create one!