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Inhaltsverzeichnis1. Warming Up.2. Filtrations and Processes.3. Martingales.4. Localization and Approximation.5. The Stochastic Integral.6. Predictability.7. Semimartingales and Stochastic Differentials.8. Itô Calculus.9. The Special Role of Brownian Motion.10. Change of Measure.11. Stochastic Differential Equations.12. Towards Diffusions.References.Index of Common Notation.
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Stochastic integrals, Heinrich von Weizsäcker
- Language
- Released
- 1990
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- Title
- Stochastic integrals
- Language
- German
- Authors
- Heinrich von Weizsäcker
- Publisher
- Vieweg
- Publisher
- 1990
- ISBN10
- 3528063106
- ISBN13
- 9783528063108
- Category
- Mathematics
- Description
- Inhaltsverzeichnis1. Warming Up.2. Filtrations and Processes.3. Martingales.4. Localization and Approximation.5. The Stochastic Integral.6. Predictability.7. Semimartingales and Stochastic Differentials.8. Itô Calculus.9. The Special Role of Brownian Motion.10. Change of Measure.11. Stochastic Differential Equations.12. Towards Diffusions.References.Index of Common Notation.