Stochastic Integrals
An Introduction
Published on 1. January 1990
Book
Paperback/Softback
IX, 332 pages
978-3-528-06310-8 (ISBN)
Description
1. Warming Up.- 2. Filtrations and Processes.- 3. Martingales.- 4. Localization and Approximation.- 5. The Stochastic Integral.- 6. Predictability.- 7. Semimartingales and Stochastic Differentials.- 8. Itô Calculus.- 9. The Special Role of Brownian Motion.- 10. Change of Measure.- 11. Stochastic Differential Equations.- 12. Towards Diffusions.- References.- Index of Common Notation.
More details
Series
Language
German
Place of publication
Wiesbaden
Germany
Publishing group
Vieweg & Teubner
Target group
Professional and scholarly
Research
Illustrations
5 s/w Abbildungen
IX, 332 S. 5 Abb.
Dimensions
Height: 235 mm
Width: 155 mm
Thickness: 19 mm
Weight
528 gr
ISBN-13
978-3-528-06310-8 (9783528063108)
DOI
10.1007/978-3-663-13923-2
Schweitzer Classification
Other editions
Additional editions
E-Book
07/2013
Vieweg+Teubner Verlag
€35.96
Available for download
Content
1. Warming Up.- 2. Filtrations and Processes.- 3. Martingales.- 4. Localization and Approximation.- 5. The Stochastic Integral.- 6. Predictability.- 7. Semimartingales and Stochastic Differentials.- 8. Itô Calculus.- 9. The Special Role of Brownian Motion.- 10. Change of Measure.- 11. Stochastic Differential Equations.- 12. Towards Diffusions.- References.- Index of Common Notation.