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
- ISBN13 9780387287201
- Publish Date 15 November 2005
- Publish Status Active
- Publish Country US
- Imprint Springer-Verlag New York Inc.
- Format Paperback
- Pages 279
- Language English