Stochastic integrals : an introduction
Author(s)
Bibliographic Information
Stochastic integrals : an introduction
(Advanced lectures in mathematics)
Vieweg, c1990
Available at 43 libraries
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Note
Bibliography: p. 322-326
Includes index
Description and Table of Contents
Table of Contents
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. Ito Calculus.- 9. The Special Role of Brownian Motion.- 10. Change of Measure.- 11. Stochastic Differential Equations.- 12. Towards Diffusions.- References.- Index of Common Notation.
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