| Document Type
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BL
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| Record Number
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602129
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| Doc. No
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b431348
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| Main Entry
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Chung, Kai Lai,1917-2009
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| Title & Author
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Introduction to stochastic integration /\ K.L. Chung, R.J. Williams
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| Edition Statement
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Second edition
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| Series Statement
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Modern Birkhäuser classics
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| Page. NO
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1 online resource (xv, 276 pages) :: illustrations
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| ISBN
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9781461495871 (electronic bk.)
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: 1461495873 (electronic bk.)
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9781461495864
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| Notes
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Reprint of the 1990 edition
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| Bibliographies/Indexes
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Includes bibliographical references and index
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| Contents
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Preliminaries -- Definition of the Stochastic Integral -- Extension of the Predictable Integrands -- Quadratic Variation Process -- The Ito Formula -- Applications of the Ito Formula -- Local Time and Tanaka's Formula -- Reflected Brownian Motions -- Generalization Ito Formula, Change of Time and Measure -- Stochastic Differential Equations
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| Subject
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Stochastic integrals
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| Subject
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Martingales (Mathematics)
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| Dewey Classification
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519.2
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| LC Classification
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QA274.22
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| Added Entry
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Williams, R. J., (Ruth J.),1955-
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| Added Entry
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Ohio Library and Information Network
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