Modern Birkhäuser Classics

Introduction to Stochastic Integration

Authors: Chung, Kai Lai, Williams, Ruth J.

  • Affordable, softcover reprint of a classic textbook
  • Authors' exposition consistently chooses clarity over brevity
  • Includes an expanded collection of exercises from the first edition
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eBook $54.99
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  • ISBN 978-1-4614-9587-1
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  • Immediate eBook download after purchase
Softcover $69.99
price for USA
  • ISBN 978-1-4614-9586-4
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  • Usually dispatched within 3 to 5 business days.
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About this Textbook

A highly readable introduction to stochastic integration and stochastic differential equations, this book combines developments of the basic theory with applications. It is written in a style suitable for the text of a graduate course in stochastic calculus, following a course in probability.

Using the modern approach, the stochastic integral is defined for predictable integrands and local martingales; then It’s change of variable formula is developed for continuous martingales. Applications include a characterization of Brownian motion, Hermite polynomials of martingales, the Feynman–Kac functional and the Schrödinger equation. For Brownian motion, the topics of local time, reflected Brownian motion, and time change are discussed.

New to the second edition are a discussion of the Cameron–Martin–Girsanov transformation and a final chapter which provides an introduction to stochastic differential equations, as well as many exercises for classroom use.

This book will be a valuable resource to all mathematicians, statisticians, economists, and engineers employing the modern tools of stochastic analysis.

The text also proves that stochastic integration has made an important impact on mathematical progress over the last decades and that stochastic calculus has become one of the most powerful tools in modern probability theory.

—Journal of the American Statistical Association

An attractive text…written in [a] lean and precise style…eminently readable. Especially pleasant are the care and attention devoted to details… A very fine book.

—Mathematical Reviews

Reviews

"An attractive text…written in [a] lean and precise style…eminently readable. Especially pleasant are the care and attention devoted to details… A very fine book."

—Mathematical Reviews


Table of contents (10 chapters)

Buy this book

eBook $54.99
price for USA (gross)
  • ISBN 978-1-4614-9587-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $69.99
price for USA
  • ISBN 978-1-4614-9586-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Introduction to Stochastic Integration
Authors
Series Title
Modern Birkhäuser Classics
Copyright
2014
Publisher
Birkhäuser Basel
Copyright Holder
Springer Science+Business Media New York
Distribution Rights
Distribution rights for India: Researchco Book Centre, New Delhi, India
eBook ISBN
978-1-4614-9587-1
DOI
10.1007/978-1-4614-9587-1
Softcover ISBN
978-1-4614-9586-4
Series ISSN
2197-1803
Edition Number
2
Number of Pages
XVII, 276
Number of Illustrations and Tables
10 b/w illustrations
Topics