<電子ブック>
Introduction to Stochastic Calculus / by Rajeeva L. Karandikar, B. V. Rao
(Indian Statistical Institute Series. ISSN:25233122)
版 | 1st ed. 2018. |
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出版者 | Singapore : Springer Nature Singapore : Imprint: Springer |
出版年 | 2018 |
大きさ | XIII, 441 p : online resource |
著者標目 | *Karandikar, Rajeeva L author Rao, B. V author SpringerLink (Online service) |
件 名 | LCSH:Statistics LCSH:Probabilities FREE:Statistical Theory and Methods FREE:Probability Theory |
一般注記 | Discrete Parameter Martingales -- Continuous Time Processes -- The Ito Integral -- Stochastic Integration -- Semimartingales -- Pathwise Formula for the Stochastic Integral -- Continuous Semimartingales -- Predictable Increasing Processes -- The Davis Inequality -- Integral Representation of Martingales -- Dominating Process of a Semimartingale -- SDE driven by r.c.l.l. Semimartingales -- Girsanov Theorem This book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance. The first book to introduce pathwise formulae for the stochastic integral, it provides a simple but rigorous treatment of the subject, including a range of advanced topics. The book discusses in-depth topics such as quadratic variation, Ito formula, and Emery topology. The authors briefly address continuous semi-martingales to obtain growth estimates and study solution of a stochastic differential equation (SDE) by using the technique of random time change. Later, by using Metivier–Pellaumail inequality, the solutions to SDEs driven by general semi-martingales are discussed. The connection of the theory with mathematical finance is briefly discussed and the book has extensive treatment on the representation of martingales as stochastic integrals and a second fundamental theorem of asset pricing. Intended for undergraduate- and beginning graduate-level students in the engineering and mathematics disciplines, the book is also an excellent reference resource for applied mathematicians and statisticians looking for a review of the topic HTTP:URL=https://doi.org/10.1007/978-981-10-8318-1 |
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電子ブック | 配架場所 | 資料種別 | 巻 次 | 請求記号 | 状 態 | 予約 | コメント | ISBN | 刷 年 | 利用注記 | 指定図書 | 登録番号 |
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電子ブック | オンライン | 電子ブック |
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Springer eBooks | 9789811083181 |
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EB00201593 |
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