Introduction to Stochastic Integration:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Boston, MA
Birkhäuser Boston
1983
|
| Schriftenreihe: | Progress in Probability and Statistics
4 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | The contents of this monograph approximate the lectures I gave In a graduate course at Stanford University in the first half of 1981. But the material has been thoroughly reorganized and rewritten. The purpose is to present a modern version of the theory of stochastic in tegration, comprising but going beyond the classical theory, yet stopping short of the latest discontinuous (and to some distracting) ramifications. Roundly speaking, integration with respect to a local martingale with continuous paths is the primary object of study here. We have decided to include some results requiring only right continuity of paths, in order to illustrate the general methodology. But it is possible for the reader to skip these extensions without feeling lost in a wilderness of generalities. Basic probability theory inclusive of martingales is reviewed in Chapter 1. A suitably prepared reader should begin with Chapter 2 and consult Chapter 1 only when needed. Occasionally theorems are stated without proof but the treatmcnt is aimed at self-containment modulo the in evitable prerequisites. With considerable regret I have decided to omit a discussion of stochastic differential equations. Instead, some other ap plications of the stochastic calculus are given; in particular Brownian local time is treated in dctail to fill an unapparent gap in the literature. x I PREFACE The applications to storage theory discussed in Section 8. 4 are based on lectures given by J. Michael Harrison in my class |
| Beschreibung: | 1 Online-Ressource (XIII, 192 p) |
| ISBN: | 9781475791747 9780817631178 |
| DOI: | 10.1007/978-1-4757-9174-7 |
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| 245 | 1 | 0 | |a Introduction to Stochastic Integration |c by K. L. Chung, R. J. Williams |
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| 490 | 0 | |a Progress in Probability and Statistics |v 4 | |
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Datensatz im Suchindex
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| author | Chung, K. L. |
| author_facet | Chung, K. L. |
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| author_sort | Chung, K. L. |
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| building | Verbundindex |
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| dewey-hundreds | 500 - Natural sciences and mathematics |
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| dewey-search | 519.2 |
| dewey-sort | 3519.2 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| doi_str_mv | 10.1007/978-1-4757-9174-7 |
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| isbn | 9781475791747 9780817631178 |
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| spelling | Chung, K. L. Verfasser aut Introduction to Stochastic Integration by K. L. Chung, R. J. Williams Boston, MA Birkhäuser Boston 1983 1 Online-Ressource (XIII, 192 p) txt rdacontent c rdamedia cr rdacarrier Progress in Probability and Statistics 4 The contents of this monograph approximate the lectures I gave In a graduate course at Stanford University in the first half of 1981. But the material has been thoroughly reorganized and rewritten. The purpose is to present a modern version of the theory of stochastic in tegration, comprising but going beyond the classical theory, yet stopping short of the latest discontinuous (and to some distracting) ramifications. Roundly speaking, integration with respect to a local martingale with continuous paths is the primary object of study here. We have decided to include some results requiring only right continuity of paths, in order to illustrate the general methodology. But it is possible for the reader to skip these extensions without feeling lost in a wilderness of generalities. Basic probability theory inclusive of martingales is reviewed in Chapter 1. A suitably prepared reader should begin with Chapter 2 and consult Chapter 1 only when needed. Occasionally theorems are stated without proof but the treatmcnt is aimed at self-containment modulo the in evitable prerequisites. With considerable regret I have decided to omit a discussion of stochastic differential equations. Instead, some other ap plications of the stochastic calculus are given; in particular Brownian local time is treated in dctail to fill an unapparent gap in the literature. x I PREFACE The applications to storage theory discussed in Section 8. 4 are based on lectures given by J. Michael Harrison in my class Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Mathematik Martingal (DE-588)4126466-6 gnd rswk-swf Stochastisches Integral (DE-588)4126478-2 gnd rswk-swf 1\p (DE-588)4151278-9 Einführung gnd-content Stochastisches Integral (DE-588)4126478-2 s 2\p DE-604 Martingal (DE-588)4126466-6 s 3\p DE-604 Williams, R. J. Sonstige oth https://doi.org/10.1007/978-1-4757-9174-7 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Chung, K. L. Introduction to Stochastic Integration Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Mathematik Martingal (DE-588)4126466-6 gnd Stochastisches Integral (DE-588)4126478-2 gnd |
| subject_GND | (DE-588)4126466-6 (DE-588)4126478-2 (DE-588)4151278-9 |
| title | Introduction to Stochastic Integration |
| title_auth | Introduction to Stochastic Integration |
| title_exact_search | Introduction to Stochastic Integration |
| title_full | Introduction to Stochastic Integration by K. L. Chung, R. J. Williams |
| title_fullStr | Introduction to Stochastic Integration by K. L. Chung, R. J. Williams |
| title_full_unstemmed | Introduction to Stochastic Integration by K. L. Chung, R. J. Williams |
| title_short | Introduction to Stochastic Integration |
| title_sort | introduction to stochastic integration |
| topic | Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Mathematik Martingal (DE-588)4126466-6 gnd Stochastisches Integral (DE-588)4126478-2 gnd |
| topic_facet | Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Mathematik Martingal Stochastisches Integral Einführung |
| url | https://doi.org/10.1007/978-1-4757-9174-7 |
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