Stochastic integrals : an introduction

Author(s)

• Weizsäcker, Heinrich von
• Winkler, Gerhard

Bibliographic Information

Stochastic integrals : an introduction

Heinrich von Weizsäcker, Gerhard Winkler

（Advanced lectures in mathematics）

Vieweg, c1990

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.

by "Nielsen BookData"

Details

• NCID: BA10418966
• ISBN:
  • 3528063106
• Country Code: gw
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Braunschweig
• Pages/Volumes: ix, 332 p.
• Size: 23 cm
• Classification:
  • NDC8 : 417.1
• Subject Headings:
  • LCSH : Integrals, Stochastic
• Parent Bibliography ID:
  • BA00424077