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Non-uniform Riemann approach to stochastic integration / Varayu Boonpogkrong, Tuan Seng Chew, Tin Lam Toh.

By: Contributor(s): Material type: TextSeries: Series in real analysis ; vol. 16.Publication details: Singapore : World Scientific, c2024.Description: 1 online resource (xi, 169 p.)ISBN:
  • 9789819801237
  • 9819801230
Subject(s): Genre/Form: DDC classification:
  • 519.2/2 23
LOC classification:
  • QA274.22
Online resources:
Contents:
Introduction -- The Itô integral -- Differentiation and differential -- Variational approach to stochastic integration -- The multiple Itô-Wiener integral -- Fubini's theorem and Hu-Meyer's theorem.
Summary: "This is the first book that presents the theory of stochastic integral using the generalized Riemann approach. Readers who are familiar with undergraduate calculus and want to have an easy access to the theory of stochastic integral will find most of this book pleasantly readable, especially the first four chapters. The references to the theory of classical stochastic integral and stochastic processes are also included for the convenience of readers who are familiar with the measure theoretic approach"-- Publisher's website.
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Electronic Books CUTN Central Library 519.2/2 (Browse shelf(Opens below)) Link to resource Available EB04979

Includes bibliographical references and index.

Introduction -- The Itô integral -- Differentiation and differential -- Variational approach to stochastic integration -- The multiple Itô-Wiener integral -- Fubini's theorem and Hu-Meyer's theorem.

"This is the first book that presents the theory of stochastic integral using the generalized Riemann approach. Readers who are familiar with undergraduate calculus and want to have an easy access to the theory of stochastic integral will find most of this book pleasantly readable, especially the first four chapters. The references to the theory of classical stochastic integral and stochastic processes are also included for the convenience of readers who are familiar with the measure theoretic approach"-- Publisher's website.

Mode of access: World Wide Web.

System requirements: Adobe Acrobat Reader.

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