INTRODUCTION TO STOCHASTIC INTEGRATION PROBABILITY AND ITS APPLICATIONS

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Introduction To Stochastic Integration

Author : K.L. Chung
ISBN : 9781461495871
Genre : Mathematics
File Size : 22.10 MB
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A highly readable introduction to stochastic integration and stochastic differential equations, this book combines developments of the basic theory with applications. It is written in a style suitable for the text of a graduate course in stochastic calculus, following a course in probability. Using the modern approach, the stochastic integral is defined for predictable integrands and local martingales; then It’s change of variable formula is developed for continuous martingales. Applications include a characterization of Brownian motion, Hermite polynomials of martingales, the Feynman–Kac functional and the Schrödinger equation. For Brownian motion, the topics of local time, reflected Brownian motion, and time change are discussed. New to the second edition are a discussion of the Cameron–Martin–Girsanov transformation and a final chapter which provides an introduction to stochastic differential equations, as well as many exercises for classroom use. This book will be a valuable resource to all mathematicians, statisticians, economists, and engineers employing the modern tools of stochastic analysis. The text also proves that stochastic integration has made an important impact on mathematical progress over the last decades and that stochastic calculus has become one of the most powerful tools in modern probability theory. —Journal of the American Statistical Association 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
Category: Mathematics

Introduction To Stochastic Integration

Author : Hui-Hsiung Kuo
ISBN : 9780387310572
Genre : Mathematics
File Size : 87.56 MB
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Also called Ito calculus, the theory of stochastic integration has applications in virtually every scientific area involving random functions. This introductory textbook provides a concise introduction to the Ito calculus. From the reviews: "Introduction to Stochastic Integration is exactly what the title says. I would maybe just add a ‘friendly’ introduction because of the clear presentation and flow of the contents." --THE MATHEMATICAL SCIENCES DIGITAL LIBRARY
Category: Mathematics

Stochastic Integration And Differential Equations

Author : Philip Protter
ISBN : 9783662026199
Genre : Mathematics
File Size : 21.9 MB
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The idea of this book began with an invitation to give a course at the Third Chilean Winter School in Probability and Statistics, at Santiago de Chile, in July, 1984. Faced with the problem of teaching stochastic integration in only a few weeks, I realized that the work of C. Dellacherie [2] provided an outline for just such a pedagogic approach. I developed this into aseries of lectures (Protter [6]), using the work of K. Bichteler [2], E. Lenglart [3] and P. Protter [7], as well as that of Dellacherie. I then taught from these lecture notes, expanding and improving them, in courses at Purdue University, the University of Wisconsin at Madison, and the University of Rouen in France. I take this opportunity to thank these institut ions and Professor Rolando Rebolledo for my initial invitation to Chile. This book assumes the reader has some knowledge of the theory of stochastic processes, including elementary martingale theory. While we have recalled the few necessary martingale theorems in Chap. I, we have not provided proofs, as there are already many excellent treatments of martingale theory readily available (e. g. , Breiman [1], Dellacherie-Meyer [1,2], or Ethier Kurtz [1]). There are several other texts on stochastic integration, all of which adopt to some extent the usual approach and thus require the general theory. The books of Elliott [1], Kopp [1], Metivier [1], Rogers-Williams [1] and to a much lesser extent Letta [1] are examples.
Category: Mathematics

Stochastic Calculus For Fractional Brownian Motion And Applications

Author : Francesca Biagini
ISBN : 9781846287978
Genre : Mathematics
File Size : 70.21 MB
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The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the resulting theory. Particular emphasis is placed on studying the relations between the different approaches. Readers are assumed to be familiar with probability theory and stochastic analysis, although the mathematical techniques used in the book are thoroughly exposed and some of the necessary prerequisites, such as classical white noise theory and fractional calculus, are recalled in the appendices. This book will be a valuable reference for graduate students and researchers in mathematics, biology, meteorology, physics, engineering and finance.
Category: Mathematics

Stochastic Calculus

Author : Richard Durrett
ISBN : 9781351413749
Genre : Mathematics
File Size : 22.5 MB
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This compact yet thorough text zeros in on the parts of the theory that are particularly relevant to applications . It begins with a description of Brownian motion and the associated stochastic calculus, including their relationship to partial differential equations. It solves stochastic differential equations by a variety of methods and studies in detail the one-dimensional case. The book concludes with a treatment of semigroups and generators, applying the theory of Harris chains to diffusions, and presenting a quick course in weak convergence of Markov chains to diffusions. The presentation is unparalleled in its clarity and simplicity. Whether your students are interested in probability, analysis, differential geometry or applications in operations research, physics, finance, or the many other areas to which the subject applies, you'll find that this text brings together the material you need to effectively and efficiently impart the practical background they need.
Category: Mathematics

Stochastic Integration With Jumps

Author : Klaus Bichteler
ISBN : 0521811295
Genre : Mathematics
File Size : 48.21 MB
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The complete theory of stochastic differential equations driven by jumps, their stability, and numerical approximation theories.
Category: Mathematics

Stochastic Calculus And Applications

Author : Samuel Cohen
ISBN : 9781493928675
Genre : Mathematics
File Size : 69.18 MB
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Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance. Building upon the original release of this title, this text will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry. New features of this edition include: End of chapter exercises; New chapters on basic measure theory and Backward SDEs; Reworked proofs, examples and explanatory material; Increased focus on motivating the mathematics; Extensive topical index. "Such a self-contained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for first-year graduate studies. It will be useful for all who intend to work with stochastic calculus as well as with its applications."–Zentralblatt (from review of the First Edition)
Category: Mathematics

Stochastic Differential Equations

Author : Bernt Oksendal
ISBN : 9783662130506
Genre : Mathematics
File Size : 38.87 MB
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These notes are based on a postgraduate course I gave on stochastic differential equations at Edinburgh University in the spring 1982. No previous knowledge about the subject was assumed, but the presen tation is based on some background in measure theory. There are several reasons why one should learn more about stochastic differential equations: They have a wide range of applica tions outside mathematics, there are many fruitful connections to other mathematical disciplines and the subject has a rapidly develop ing life of its own as a fascinating research field with many interesting unanswered questions. Unfortunately most of the literature about stochastic differential equations seems to place so much emphasis on rigor and complete ness that is scares many nonexperts away. These notes are an attempt to approach the subject from the nonexpert point of view: Not knowing anything (except rumours, maybe) about a subject to start with, what would I like to know first of all? My answer would be: 1) In what situations does the subject arise? 2) What are its essential features? 3) What are the applications and the connections to other fields? I would not be so interested in the proof of the most general case, but rather in an easier proof of a special case, which may give just as much of the basic idea in the argument. And I would be willing to believe some basic results without proof (at first stage, anyway) in order to have time for some more basic applications.
Category: Mathematics

Introduction To Stochastic Integration

Author : Hui-Hsiung Kuo
ISBN : 9780387310572
Genre : Mathematics
File Size : 40.59 MB
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Also called Ito calculus, the theory of stochastic integration has applications in virtually every scientific area involving random functions. This introductory textbook provides a concise introduction to the Ito calculus. From the reviews: "Introduction to Stochastic Integration is exactly what the title says. I would maybe just add a ‘friendly’ introduction because of the clear presentation and flow of the contents." --THE MATHEMATICAL SCIENCES DIGITAL LIBRARY
Category: Mathematics

An Informal Introduction To Stochastic Calculus With Applications

Author : Ovidiu Calin
ISBN : 9789814678957
Genre : Mathematics
File Size : 74.78 MB
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The goal of this book is to present Stochastic Calculus at an introductory level and not at its maximum mathematical detail. The author aims to capture as much as possible the spirit of elementary deterministic Calculus, at which students have been already exposed. This assumes a presentation that mimics similar properties of deterministic Calculus, which facilitates understanding of more complicated topics of Stochastic Calculus. Contents:A Few Introductory ProblemsBasic NotionsUseful Stochastic ProcessesProperties of Stochastic ProcessesStochastic IntegrationStochastic DifferentiationStochastic Integration TechniquesStochastic Differential EquationsApplications of Brownian MotionGirsanov's Theorem and Brownian MotionSome Applications of Stochastic CalculusHints and Solutions Readership: Undergraduate and graduate students interested in stochastic processes. Key Features:The book contains numerous problems with full solutions and plenty of worked out examples and figures, which facilitate material understandingThe material was tested on students at several universities around the world (Taiwan, Kuwait, USA); this led to a presentation form that balances both technicality and understandingThe presentation mimics as close as possible the same chapters as in deterministic calculus; former calculus students will find this chronology of ideas familiar to CalculusKeywords:Stochastic Processes;Probability Distribution;Brownian Motion;Filtering Theory;Martingale;Ito Calculus;Poisson Process;Bessel Process
Category: Mathematics