Introduction to Stochastic Integration
2nd Edition
Published on 1. January 1990
Book
Hardback
XVI, 278 pages
978-0-8176-3386-8 (ISBN)
Description
This is a substantial expansion of the first edition. The last chapter on stochastic differential equations is entirely new, as is the longish section §9.4 on the Cameron-Martin-Girsanov formula. Illustrative examples in Chapter 10 include the warhorses attached to the names of L. S. Ornstein, Uhlenbeck and Bessel, but also a novelty named after Black and Scholes. The Feynman-Kac-Schrooinger development (§6.4) and the material on re flected Brownian motions (§8.5) have been updated. Needless to say, there are scattered over the text minor improvements and corrections to the first edition. A Russian translation of the latter, without changes, appeared in 1987. Stochastic integration has grown in both theoretical and applicable importance in the last decade, to the extent that this new tool is now sometimes employed without heed to its rigorous requirements. This is no more surprising than the way mathematical analysis was used historically. We hope this modest introduction to the theory and application of this new field may serve as a text at the beginning graduate level, much as certain standard texts in analysis do for the deterministic counterpart. No monograph is worthy of the name of a true textbook without exercises. We have compiled a collection of these, culled from our experiences in teaching such a course at Stanford University and the University of California at San Diego, respectively. We should like to hear from readers who can supply VI PREFACE more and better exercises.
Reviews / Votes
"An attractive text.written in [a] lean and precise style.eminently readable. Especially pleasant are the care and attention devoted to details. A very fine book."
-Mathematical Reviews
More details
Series
Edition
2nd ed. 1990
Language
English
Place of publication
New York
United States
Target group
College/higher education
Professional and scholarly
Research
Edition type
Revised edition
Product notice
Laminated cover
Illustrations
biography
Dimensions
Height: 23.5 cm
Width: 15.5 cm
Thickness: 17 mm
Weight
1320 gr
ISBN-13
978-0-8176-3386-8 (9780817633868)
DOI
10.1007/978-1-4612-4480-6
Schweitzer Classification
Other editions
Additional editions
Kai L. Chung | Ruth J. Williams
Introduction to Stochastic Integration
Book
09/2011
2nd Edition
Springer
€74.89
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Previous edition
Kai L. Chung | Ruth Williams
Introduction to Stochastic Integration
Book
10/1990
3rd Edition
Birkhäuser Verlag GmbH
€60.66
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Content
1. Preliminaries.- 1.1 Notations and Conventions.- 1.2 Measurability, LP Spaces and Monotone Class Theorems.- 1.3 Functions of Bounded Variation and Stieltjes Integrals.- 1.4 Probability Space, Random Variables, Filtration.- 1.5 Convergence, Conditioning.- 1.6 Stochastic Processes.- 1.7 Optional Times.- 1.8 Two Canonical Processes.- 1.9 Martingales.- 1.10 Local Martingales.- 1.11 Exercises.- 2. Definition of the Stochastic Integral.- 2.1 Introduction.- 2.2 Predictable Sets and Processes.- 2.3 Stochastic Intervals.- 2.4 Measure on the Predictable Sets.- 2.5 Definition of the Stochastic Integral.- 2.6 Extension to Local Integrators and Integrands.- 2.7 Substitution Formula.- 2.8 A Sufficient Condition for Extendability of ?z.- 2.9 Exercises.- 3. Extension of the Predictable Integrands.- 3.1 Introduction.- 3.2 Relationship between P, O,and Adapted Processes.- 3.3 Extension of the Integrands.- 3.4 A Historical Note.- 3.5 Exercises.- 4. Quadratic Variation Process.- 4.1 Introduction.- 4.2 Definition and Characterization of Quadratic Variation.- 4.3 Properties of Quadratic Variation for an L2-martingale.- 4.4 Direct Definition of ?M.- 4.5 Decomposition of (M)2.- 4.6 A Limit Theorem.- 4.7 Exercises.- 5. The Ito Formula.- 5.1 Introduction.- 5.2 One-dimensional Itô Formula.- 5.3 Mutual Variation Process.- 5.4 Multi-dimensional Itô Formula.- 5.5 Exercises.- 6. Applications of the Ito Formula.- 6.1 Characterization of Brownian Motion.- 6.2 Exponential Processes.- 6.3 A Family of Martingales Generated by M.- 6.4 Feynman-Kac Functional and the Schrödinger Equation.- 6.5 Exercises.- 7. Local Time and Tanaka's Formula.- 7.1 Introduction.- 7.2 Local Time.- 7.3 Tanaka's Formula.- 7.4 Proof of Lemma 7.2.- 7.5 Exercises.- 8. Reflected Brownian Motions.- 8.1 Introduction.- 8.2 Brownian Motion Reflected at Zero.- 8.3 Analytical Theory of Z via the Itô Formula.- 8.4 Approximations in Storage Theory.- 8.5 Reflected Brownian Motions in a Wedge.- 8.6 Alternative Derivation of Equation (8.7).- 8.7 Exercises.- 9. Generalized Ito Formula, Change of Time and Measure.- 9.1 Introduction.- 9.2 Generalized Itô Formula.- 9.3 Change of Time.- 9.4 Change of Measure.- 9.5 Exercises.- 10. Stochastic Differential Equations.- 10.1 Introduction.- 10.2 Existence and Uniqueness for Lipschitz Coefficients.- 10.3 Strong Markov Property of the Solution.- 10.4 Strong and Weak Solutions.- 10.5 Examples.- 10.6 Exercises.- References.