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Introduction to Stochastic Integration
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Introduction to Stochastic Integration

Book Details

Format Paperback / Softback
Book Series Universitext
ISBN-10 0387287205
ISBN-13 9780387287201
Publisher Springer-Verlag New York Inc.
Imprint Springer-Verlag New York Inc.
Country of Manufacture US
Country of Publication GB
Publication Date Nov 15th, 2005
Print length 279 Pages
Weight 476 grams
Dimensions 23.50 x 15.60 x 1.80 cms
Product Classification: Stochastics
Ksh 11,150.00
Werezi Extended Catalogue 0 in stock

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It was the beginning of the Itˆ o calculus, the counterpart of the Leibniz–Newton calculus for random functions. The Itˆ o formula is the chain rule for the Itˆocalculus.Butitcannotbe expressed as in the Leibniz–Newton calculus in terms of derivatives, since a Brownian motion path is nowhere di?erentiable.

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


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