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Introduction to Stochastic Calculus

This book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance. The first book to introduce pathwise formulae for the stochastic integral, it provides a simple but rigorous treatment of the subject, including...

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Bibliographic Details
Main Authors: Karandikar, Rajeeva L., Rao, B. V. (Author)
Format: eBook
Language:English
Published: Singapore Springer Nature Singapore 2018, 2018
Edition:1st ed. 2018
Series:Indian Statistical Institute Series
Subjects:
Statistical Theory And Methods
Statistics 
Probability Theory
Probabilities
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Table of Contents:
  • Discrete Parameter Martingales
  • Continuous Time Processes
  • The Ito Integral
  • Stochastic Integration
  • Semimartingales
  • Pathwise Formula for the Stochastic Integral
  • Continuous Semimartingales
  • Predictable Increasing Processes
  • The Davis Inequality
  • Integral Representation of Martingales
  • Dominating Process of a Semimartingale
  • SDE driven by r.c.l.l. Semimartingales
  • Girsanov Theorem

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