The Multiple Stochastic Integral
Author: David Douglas Engel
Publisher:
Published: 1979
Total Pages: 196
ISBN-13:
DOWNLOAD EBOOKRead and Download eBook Full
Author: David Douglas Engel
Publisher:
Published: 1979
Total Pages: 196
ISBN-13:
DOWNLOAD EBOOKAuthor: David Douglas Engel
Publisher: American Mathematical Soc.
Published: 1982
Total Pages: 91
ISBN-13: 0821822659
DOWNLOAD EBOOKThe author establishes a relation between the theory of multiple stochastic integration and the theory of Banach space valued measures.
Author: Hui-Hsiung Kuo
Publisher: Springer Science & Business Media
Published: 2006-02-04
Total Pages: 290
ISBN-13: 0387310576
DOWNLOAD EBOOKAlso 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
Author: Michel Metivier
Publisher: Academic Press
Published: 2014-07-10
Total Pages: 209
ISBN-13: 1483218783
DOWNLOAD EBOOKProbability and Mathematical Statistics: A Series of Monographs and Textbooks: Stochastic Integration focuses on the processes, methodologies, and approaches involved in stochastic integration. The publication first takes a look at the Ito formula, stochastic integral equations, and martingales and semimartingales. Discussions focus on Meyer process and decomposition theorem, inequalities, examples of stochastic differential equations, general stochastic integral equations, and applications of the Ito formula. The text then elaborates on stochastic measures, including stochastic measures and related integration and the Riesz representation theorem. The manuscript tackles the special features of infinite dimensional stochastic integration, as well as the isometric integral of a Hubert-valued square integrable martingale, cylindrical processes, and stochastic integral with respect to 2-cylindrical martingales with finite quadratic variation. The book is a valuable reference for mathematicians and researchers interested in stochastic integration.
Author: Kurt Jacobs
Publisher: Cambridge University Press
Published: 2010-02-18
Total Pages: 203
ISBN-13: 1139486799
DOWNLOAD EBOOKStochastic processes are an essential part of numerous branches of physics, as well as in biology, chemistry, and finance. This textbook provides a solid understanding of stochastic processes and stochastic calculus in physics, without the need for measure theory. In avoiding measure theory, this textbook gives readers the tools necessary to use stochastic methods in research with a minimum of mathematical background. Coverage of the more exotic Levy processes is included, as is a concise account of numerical methods for simulating stochastic systems driven by Gaussian noise. The book concludes with a non-technical introduction to the concepts and jargon of measure-theoretic probability theory. With over 70 exercises, this textbook is an easily accessible introduction to stochastic processes and their applications, as well as methods for numerical simulation, for graduate students and researchers in physics.
Author: Christian Houdre
Publisher: CRC Press
Published: 1994-04-05
Total Pages: 396
ISBN-13: 9780849380723
DOWNLOAD EBOOKThe study of chaos expansions and multiple Wiener-Ito integrals has become a field of considerable interest in applied and theoretical areas of probability, stochastic processes, mathematical physics, and statistics. Divided into four parts, this book features a wide selection of surveys and recent developments on these subjects. Part 1 introduces the concepts, techniques, and applications of multiple Wiener-Ito and related integrals. The second part includes papers on chaos random variables appearing in many limiting theorems. Part 3 is devoted to mixing, zero-one laws, and path continuity properties of chaos processes. The final part presents several applications to stochastic analysis.
Author: P. Major
Publisher: Springer
Published: 2006-11-14
Total Pages: 134
ISBN-13: 3540385576
DOWNLOAD EBOOKAuthor: P. Xavier Raja Retnam
Publisher:
Published: 1988
Total Pages: 134
ISBN-13:
DOWNLOAD EBOOKAuthor: H. P. McKean
Publisher: Academic Press
Published: 2014-06-20
Total Pages: 157
ISBN-13: 1483259234
DOWNLOAD EBOOKStochastic Integrals discusses one area of diffusion processes: the differential and integral calculus based upon the Brownian motion. The book reviews Gaussian families, construction of the Brownian motion, the simplest properties of the Brownian motion, Martingale inequality, and the law of the iterated logarithm. It also discusses the definition of the stochastic integral by Wiener and by Ito, the simplest properties of the stochastic integral according to Ito, and the solution of the simplest stochastic differential equation. The book explains diffusion, Lamperti's method, forward equation, Feller's test for the explosions, Cameron-Martin's formula, the Brownian local time, and the solution of dx=e(x) db + f(x) dt for coefficients with bounded slope. It also tackles Weyl's lemma, diffusions on a manifold, Hasminski's test for explosions, covering Brownian motions, Brownian motions on a Lie group, and Brownian motion of symmetric matrices. The book gives as example of a diffusion on a manifold with boundary the Brownian motion with oblique reflection on the closed unit disk of R squared. The text is suitable for economists, scientists, or researchers involved in probabilistic models and applied mathematics.
Author: Peter Medvegyev
Publisher: Oxford University Press, USA
Published: 2007-07-26
Total Pages: 629
ISBN-13: 0199215251
DOWNLOAD EBOOKThis graduate level text covers the theory of stochastic integration, an important area of Mathematics that has a wide range of applications, including financial mathematics and signal processing. Aimed at graduate students in Mathematics, Statistics, Probability, Mathematical Finance, and Economics, the book not only covers the theory of the stochastic integral in great depth but also presents the associated theory (martingales, Levy processes) and important examples (Brownianmotion, Poisson process).