عنوان

Introduction to stochastic calculus /

(Number (ISBN

9789811083174

(Number (ISBN

9789811083181

(Number (ISBN

9811083177

(Number (ISBN

9811083185

Erroneous ISBN

9789811083174

Title Proper

Introduction to stochastic calculus /

General Material Designation

[Book]

First Statement of Responsibility

Rajeeva L. Karandikar, B.V. Rao.

Place of Publication, Distribution, etc.

Singapore :

Name of Publisher, Distributor, etc.

Springer,

Date of Publication, Distribution, etc.

2018.

Specific Material Designation and Extent of Item

1 online resource (xiii, 441 pages)

Series Title

Indian Statistical Institute series,

ISSN of Series

2523-3114

Text of Note

Includes bibliographical references and index.

Text of Note

Discrete Parameter Martingales -- Continuous Time Processes -- The Ito Integral -- Stochastic Integration -- Semimartingales -- Pathwise Formula for the Stochastic Integral -- Continuous Semimartingales -- Predictable Increasing Processes -- The Davis Inequality -- Integral Representation of Martingales -- Dominating Process of a Semimartingale -- SDE driven by r.c.l.l. Semimartingales -- Girsanov Theorem.

0

Text of Note

This book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance. The first book to introduce pathwise formulae for the stochastic integral, it provides a simple but rigorous treatment of the subject, including a range of advanced topics. The book discusses in-depth topics such as quadratic variation, Ito formula, and Emery topology. The authors briefly address continuous semi-martingales to obtain growth estimates and study solution of a stochastic differential equation (SDE) by using the technique of random time change. Later, by using Metivier-Pellumail inequality, the solutions to SDEs driven by general semi-martingales are discussed. The connection of the theory with mathematical finance is briefly discussed and the book has extensive treatment on the representation of martingales as stochastic integrals and a second fundamental theorem of asset pricing. Intended for undergraduate- and beginning graduate-level students in the engineering and mathematics disciplines, the book is also an excellent reference resource for applied mathematicians and statisticians looking for a review of the topic.

Source for Acquisition/Subscription Address

Springer Nature

Stock Number

com.springer.onix.9789811083181

International Standard Book Number

9789811083174

Stochastic processes.

Mathematics-- Probability & Statistics-- General.

Probability & statistics.

Stochastic processes.

MAT029000

PBT

Number

Edition

Class number

Karandikar, R. L., (Rajeeva L.),1956-

Rao, B. V.

Date of Transaction

20200823222518.0

Cataloguing Rules (Descriptive Conventions))

pn

Electronic name

[Book]

Y