Introduction to Stochastic Calculus
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Book Overview
Defines quadratic variation of a square integrable martingale
Demonstrates pathwise formulae for the stochastic integral
Uses the technique of random time change to study the solution of a stochastic differential equation
Studies the predictable increasing process to introduce predictable stopping times and prove the Doob Meyer decomposition theorem
Is useful for a two-semester graduate level course on measure theory and probability
Format:Paperback
Language:English
ISBN:9811341214
ISBN13:9789811341212
Release Date:January 2019
Publisher:Springer
Length:441 Pages
Weight:1.40 lbs.
Dimensions:0.9" x 6.1" x 9.2"
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