Introduction to Stochastic Integration

By Hui-Hsiung Kuo

The theory of stochastic integration, also called the Ito calculus, has a large spectrum of applications in virtually every scientific area involving random functions. This introductory textbook on stochastic integration provides a concise introduction to the Ito calculus, and covers the constructions of Brownian motion, stochastic integrals for Brownian motion and martingales, the Ito formula, multiple Wiener-Ito integrals, stochastic differential equations, and applications to finance, filtering theory, and electric circuits.

• Format: Paperback
• Language: English
• ISBN: 0387287205
• ISBN13: 9780387287201
• Release Date: November 2005
• Publisher: Springer
• Length: 279 Pages
• Weight: 0.93 lbs.
• Dimensions: 0.5" x 6.3" x 9.2"