Introduction to Stochastic Calculus

By Rajeeva L. Karandikar and B.V. Rao

Book Overview

Defines quadratic variation of a square integrable martingale
Demonstrates pathwise formulae for the stochastic integral
Uses the technique of random time change to study the solution of a stochastic differential equation
Studies the predictable increasing process to introduce predictable stopping times and prove the Doob Meyer decomposition theorem
Is useful for a two-semester graduate level course on measure theory and probability

• Format: Paperback
• Language: English
• ISBN: 9811341214
• ISBN13: 9789811341212
• Release Date: January 2019
• Publisher: Springer
• Length: 441 Pages
• Weight: 1.40 lbs.
• Dimensions: 0.9" x 6.1" x 9.2"