In applications of stochastic calculus, there are phenomena that cannot be analyzed through the classical Ito theory. It is necessary, therefore, to have a theory based on stochastic integration with respect to these situations.
Theory of Stochastic Integrals aims to provide the answer to this problem by introducing readers to the study of some interpretations of stochastic integrals with respect to stochastic processes that are not necessarily semimartingales, such as Volterra Gaussian processes, or processes with bounded p-variation among which we can mention fractional Brownian motion and Riemann-Liouville fractional process.
Features
Self-contained treatment of the topic
Suitable as a teaching or research tool for those interested in stochastic analysis and its applications
Includes original results.
Rezensionen / Stimmen
"A fundamental, comprehensive, and detailed introduction to stochastic integrals, Theory of Stochastic Integrals is an ideal and unreservedly recommended pick for professional and college/university library collections and as a supplemental Calculus curriculum textbook."
--Midwest Book Review
Sprache
Verlagsort
Verlagsgruppe
Zielgruppe
Für höhere Schule und Studium
Für Beruf und Forschung
Academic and Postgraduate
Illustrationen
1 s/w Tabelle
1 Tables, black and white
Maße
Höhe: 254 mm
Breite: 178 mm
Dicke: 26 mm
Gewicht
ISBN-13
978-1-032-77812-9 (9781032778129)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Klassifikation
Jorge A. Leon studied the PhD in equivalence of solutions to stochastic evolution equations at the Department of Mathematics of Cinvestav-IPN, Mexico. He has carried out joint research work with internationally recognized researchers. He has mainly contributed to the development of stochastic calculus and integration, and their applications to stochastic differential equations with different interpretations of stochastic integral. He has co-organized several conferences on stochastic analysis among which we can mention the Latin American Congress of Probability and Mathematical Statistics (CLAPEM), the joint meeting between USA and Mexico, Bernoulli-IMSWorld Congress, Symposium on Probability and Mathematics Statistics, which was the most important meeting in probability at Mexico, etc. He has taught at Cinvestav-IPN for 35 years.
1. Basic Tool and Concepts. 2. Riemann-Stieltjes integral. 3. Classical Stochastic Integration. 4. Divergence Operator. 5. Forward Integration. 6. Stratonovich Integration. 7. Stochastic Differential Equations. 8. Appendix.
