Stochastic Integrals
An Introduction
Published on 2. July 2013
IX, 332 pages
978-3-663-13923-2 (ISBN)
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01/1990
Vieweg+Teubner Verlag
€64.99
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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.
