Introduction to Stochastic Integration (Record no. 92399)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 03599nam a22004815i 4500 |
| 001 - CONTROL NUMBER | |
| control field | 978-1-4614-9587-1 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20140220082505.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 131109s2014 xxu| s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781461495871 |
| -- | 978-1-4614-9587-1 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.1007/978-1-4614-9587-1 |
| Source of number or code | doi |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | QA273.A1-274.9 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | QA274-274.9 |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | PBT |
| Source | bicssc |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | PBWL |
| Source | bicssc |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | MAT029000 |
| Source | bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 519.2 |
| Edition number | 23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Chung, K.L. |
| Relator term | author. |
| 245 10 - TITLE STATEMENT | |
| Title | Introduction to Stochastic Integration |
| Medium | [electronic resource] / |
| Statement of responsibility, etc | by K.L. Chung, R.J. Williams. |
| 250 ## - EDITION STATEMENT | |
| Edition statement | 2nd ed. 2014. |
| 264 #1 - | |
| -- | New York, NY : |
| -- | Springer New York : |
| -- | Imprint: Birkhäuser, |
| -- | 2014. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | XVII, 276 p. 10 illus. |
| Other physical details | online resource. |
| 336 ## - | |
| -- | text |
| -- | txt |
| -- | rdacontent |
| 337 ## - | |
| -- | computer |
| -- | c |
| -- | rdamedia |
| 338 ## - | |
| -- | online resource |
| -- | cr |
| -- | rdacarrier |
| 347 ## - | |
| -- | text file |
| -- | |
| -- | rda |
| 490 1# - SERIES STATEMENT | |
| Series statement | Modern Birkhäuser Classics, |
| International Standard Serial Number | 2197-1803 |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 1 Preliminaries -- 2 Definition of the Stochastic Integral -- 3 Extension of the Predictable Integrands -- 4 Quadratic Variation Process -- 5 The Ito Formula -- 6 Applications of the Ito Formula -- 7 Local Time and Tanaka's Formula -- 8 Reflected Brownian Motions -- 9 Generalization Ito Formula, Change of Time and Measure -- 10 Stochastic Differential Equations -- References -- Index. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | A highly readable introduction to stochastic integration and stochastic differential equations, this book combines developments of the basic theory with applications. It is written in a style suitable for the text of a graduate course in stochastic calculus, following a course in probability. Using the modern approach, the stochastic integral is defined for predictable integrands and local martingales; then Itô’s change of variable formula is developed for continuous martingales. Applications include a characterization of Brownian motion, Hermite polynomials of martingales, the Feynman–Kac functional and the Schrödinger equation. For Brownian motion, the topics of local time, reflected Brownian motion, and time change are discussed. New to the second edition are a discussion of the Cameron–Martin–Girsanov transformation and a final chapter which provides an introduction to stochastic differential equations, as well as many exercises for classroom use. This book will be a valuable resource to all mathematicians, statisticians, economists, and engineers employing the modern tools of stochastic analysis. The text also proves that stochastic integration has made an important impact on mathematical progress over the last decades and that stochastic calculus has become one of the most powerful tools in modern probability theory. —Journal of the American Statistical Association An attractive text…written in [a] lean and precise style…eminently readable. Especially pleasant are the care and attention devoted to details… A very fine book. —Mathematical Reviews |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Mathematics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Distribution (Probability theory). |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Mathematics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Probability Theory and Stochastic Processes. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Williams, R.J. |
| Relator term | author. |
| 710 2# - ADDED ENTRY--CORPORATE NAME | |
| Corporate name or jurisdiction name as entry element | SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY | |
| Title | Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Printed edition: |
| International Standard Book Number | 9781461495864 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Modern Birkhäuser Classics, |
| -- | 2197-1803 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | http://dx.doi.org/10.1007/978-1-4614-9587-1 |
| 912 ## - | |
| -- | ZDB-2-SMA |
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