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Introduction to Stochastic Calculus (Indian Sta, Karandikar, Rao..
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eBay item number:333649262017
Item specifics
- Condition
- PublishedOn
- 2018-04-01
- Title
- Introduction to Stochastic Calculus (Indian Statistical Institut
- Artist
- Not Specified
- ISBN
- 9789811083174
About this product
Product Identifiers
Publisher
Springer
ISBN-10
9811083177
ISBN-13
9789811083174
eBay Product ID (ePID)
242595998
Product Key Features
Number of Pages
Xiii, 441 Pages
Language
English
Publication Name
Introduction to Stochastic Calculus
Subject
Probability & Statistics / Stochastic Processes, Probability & Statistics / General, Calculus
Publication Year
2018
Type
Textbook
Subject Area
Mathematics
Series
Indian Statistical Institute Ser.
Format
Hardcover
Dimensions
Item Weight
238 Oz
Item Length
9.3 in
Item Width
6.1 in
Additional Product Features
Reviews
"The style is compact and clear. The presentation is well complemented by a large number of useful remarks and exercises. Graduate students attending university courses in modern probability theory and its applications can benefit a lot from working with this book. There are good reasons to expect that the book will be met positively by students, university teachers and young researchers." (Jordan M. Stoyanov, zbMATH 1434.60003, 2020)
Number of Volumes
1 vol.
Illustrated
Yes
Table Of Content
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.
Synopsis
Defines quadratic variation of a square integrable martingale Demonstrates pathwise formulae for the stochastic integral Uses the technique of random time change to study the solution of a stochastic differential equation Studies the predictable increasing process to introduce predictable stopping times and prove the Doob Meyer decomposition theorem Is useful for a two-semester graduate level course on measure theory and probability, 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 addresses 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.
LC Classification Number
QA276-280
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- f***f (1601)- Feedback left by buyer.Past 6 monthsVerified purchaseExcellent Seller, Goes the Extra Mile. The Seller Was Incredibly Communicative. Smooth Transaction, Shipped Very Quickly, As Advertised; Good Price; Well Packaged & Delivered Within a Few Days. Item in Described Promised Condition, Thank You Very Much!!!!!!!!!!! A+
- c***c (226)- Feedback left by buyer.Past 6 monthsVerified purchaseMy book arrived in good condition. Packaging was a rigid cardboard mailer, and it protected my book well. It was shipped in a reasonable amount of time, but I was still prompted to reach out to inquire further about it. Seller communication was very good, answering me within 24-hours. I was told shipping can take 9-15 days to happen... it arrived within 10 days after purchase. I would purchase from this seller again. Two thumbs up!
- a***h (67)- Feedback left by buyer.Past monthVerified purchaseBook arrived as described, packed inside a cardboard envelope which I like because it protects the corners from damage in transit. Great price and arrived ahead of the estimated delivery date. I value book sellers who package this way to ensure the books arrive safely, will bookmark you guys for future book purchases.
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- f***f (1601)- Feedback left by buyer.Past 6 monthsVerified purchaseExcellent Seller, Goes the Extra Mile. The Seller Was Incredibly Communicative. Smooth Transaction, Shipped Very Quickly, As Advertised; Good Price; Well Packaged & Delivered Within a Few Days. Item in Described Promised Condition, Thank You Very Much!!!!!!!!!!! A+
- c***c (226)- Feedback left by buyer.Past 6 monthsVerified purchaseMy book arrived in good condition. Packaging was a rigid cardboard mailer, and it protected my book well. It was shipped in a reasonable amount of time, but I was still prompted to reach out to inquire further about it. Seller communication was very good, answering me within 24-hours. I was told shipping can take 9-15 days to happen... it arrived within 10 days after purchase. I would purchase from this seller again. Two thumbs up!
- a***h (67)- Feedback left by buyer.Past monthVerified purchaseBook arrived as described, packed inside a cardboard envelope which I like because it protects the corners from damage in transit. Great price and arrived ahead of the estimated delivery date. I value book sellers who package this way to ensure the books arrive safely, will bookmark you guys for future book purchases.