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关键词：
Introduction to Stochastic Integration
书目信息
ISBN：
9780387287201（13位）
中图分类号：
O1
杜威分类号：
中文译名：
随机积分导论
作者：
Hui-Hsiung Kuo
编者：
语种：
English
出版信息
出版社：
Springer
出版地：
出版年：
2006
版本：
版本类型：
原版
丛书题名：
Universitext
卷期：
文献信息
关键词：
Mathematics
前言：
摘要：
内容简介：
<P>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:</P> <P>- Constructions of Brownian motion</P> <P>- Stochastic integrals for Brownian motion and martingales</P> <P>- The Ito formula</P> <P>- Multiple Wiener-Ito integrals</P> <P>- Stochastic differential equations</P> <P>- Applications to finance, filtering theory, and electric circuits</P> <P>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.</P> <P>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).</P>
目次：
<P>Introduction.- Brownian motion.- Constructions of Brownian motion.- Stochastic integrals.- An extentions of stochastic integrals.- Stochastic integrals for martingales.- The Ito formula.- Multiple Wiener integrals.- Stochastic differential equations.- Applications to finance.- References.</P>
附录：
全文链接：
读者对象：
Grad. textbook
实体信息
页码：
279
装帧：
Soft
尺寸：
其它形态细节：
其它信息
原价：
EUR
42.9500
原版ISBN：
其它ISBN：
图书特色：
书评：
扩展信息
Isbn：
0387287205
issue：
2006JC02
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