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자료유형 : 단행본
서명 / 저자 : Introduction to Stochastic Integration / Hui-Hsiung Kuo
개인저자 : Kuo, Hui-Hsiung |
발행사항 : New York, NY : Springer, 2005
형태사항 : xiii, 278 p. ; 24cm.
총서사항 : Universitext
서지주기 : Includes bibliographical references (p. [267]-270) and index
주제명 : Stochastic integrals
Martingales (Mathematics)
ISBN : 9780387287201
청구기호 : QA274.22 K48i
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소장자료

부가정보

1. Introduction
1.1 Integrals
1.2 Rsandom Waks
Exercises

2. Brownian Motion
2.1 Definition of Brownian Motion
2.2 Simple Properties of Brownian Motion
2.3 Wiener Integral
2.4 Conditional Expectation
2.5 Martingales
2.6 Series Expansion of Wiener Integrals
Exercises

3. Constructions of Brownian Motion
3.1 Wiener Space
3.2 Borel-Cantelli Lemma and Chebyshev Inequality
3.3 Kolmogorov's Extension and Continuity Theorems
3.4 Levy's Interpolation Method
Exercises

4. Stochastic Integrals
4.1 Background and Motivation
4.2 Filtrations for a Brownian Motion
4.3 Stochastic Integrals
4.4 Simple Examples of Stochastic Integrals
4.5 Doob Sibimartingale Inequality
4.6 Stochastic Processes Defined by Ito Integrals
4.7 Riemann Sums and Stochastic Integrals
Exercises

5. An Extension of Stochastic Integrals
5.1 A Larger Class of Integrands
5.2 A Key Iemma
5.3 General Stochastic Integrals
5.4 Stopping Times
5.5 Associated Stochastic Processes
Exercises

6. Stochastic Integrals for Martingales
6.1 Introduction
6.2 Poisson Processes
6.3 Piedictable Stocrhastic Proesses
6.4 Doob-Meyer Decomposition Theorem
6.5 Maingales as Integrators
6.6 Extension for Integrands
Exercises

7. The Ito Formula
7.1 Ito's Formula in the Simplest Form
7.2 Proof of Ito's Formnia
7.3 Ito's Formula Slightly Generalized
7.4 Ito's Formula in the General Fornm
7.5 Multidiensional Ito's Formula
7.6 Ito's Formula for Martingales
Exercises

8. Applications of the Ito Formula
8.1 Evaluation of Stochastic integrals
8.2 Decorposition and Compensators
8.3 Stratonovich Integral
8.4 Levy's Characterization Theorem
8.5 Multidimensional Brownian Motions
8.6 Tanaka's Formula and Local Time
8.7 Exponential Processes
8.8 Transformation of Probability Measures
8.9 Girsanov Theorem
Exercises

9. Multiple Wiener-Ito Integrals
9.1 A Simple Example
9.2 Double Wiener-Ito Integrals
9.3 Herrite Polynonials
9.4 Homogeneous Chaos
9.5 Orthonorinal Basis for Homogeneous Chaos
9.6 Multiple Wiener-Ito Integrals
9.7 Wiener-Ito Tiheorem
9.8 Representation of Brownian Martingales
Exercises

10. Stochastic Differential Equations
10.1 Some Examples
10.2 Bellm an -Gronwall Inequalihty
10.3 Existene and Uniqueness Theorem
10.4 Systems of Stochastic Differential Equations
10.5 Markov Property
10.6 Solutions of Stochastic Differential Equations
10.7 Some Estimates for the Solutions
10.8 Diffusion Processes
10.9 Semigroups and the Kolmogorov Equations
Exercises

11. Some Applications and Additional Topics
11.1 Linear Stochastic Differential Equations
11.2 Application to Finance
11.3 Application to Filtering Theory
11.4 ninynman Kac Formula
11.5 Approximation of Stochasti Integrals
11.6 White Noise and Electric Circuits
Exercises

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