Coverart for item
The Resource Introduction to stochastic calculus, Rajeeva L. Karandikar, B. V. Rao

Introduction to stochastic calculus, Rajeeva L. Karandikar, B. V. Rao

Label
Introduction to stochastic calculus
Title
Introduction to stochastic calculus
Statement of responsibility
Rajeeva L. Karandikar, B. V. Rao
Creator
Contributor
Author
Subject
Language
eng
Summary
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 a range of advanced topics. The book discusses in-depth topics such as quadratic variation, Ito formula, and Emery topology. The authors briefly address continuous semi-martingales to obtain growth estimates and study solution of a stochastic differential equation (SDE) by using the technique of random time change. Later, by using Metivier–Pellumail inequality, the solutions to SDEs driven by general semi-martingales are discussed. The connection of the theory with mathematical finance is briefly discussed and the book has extensive treatment on the representation of martingales as stochastic integrals and a second fundamental theorem of asset pricing. Intended for undergraduate- and beginning graduate-level students in the engineering and mathematics disciplines, the book is also an excellent reference resource for applied mathematicians and statisticians looking for a review of the topic
Member of
Cataloging source
GW5XE
http://library.link/vocab/creatorDate
1956-
http://library.link/vocab/creatorName
Karandikar, R. L.
Dewey number
519.2/3
Index
index present
LC call number
QA274
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
Rao, B. V.
Series statement
Indian Statistical Institute series,
http://library.link/vocab/subjectName
Stochastic processes
Label
Introduction to stochastic calculus, Rajeeva L. Karandikar, B. V. Rao
Instantiates
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
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
Dimensions
unknown
Extent
1 online resource (xiii, 441 pages).
File format
unknown
Form of item
online
Isbn
9789811083174
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-981-10-8318-1
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • on1038714796
  • (OCoLC)1038714796
Label
Introduction to stochastic calculus, Rajeeva L. Karandikar, B. V. Rao
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
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
Dimensions
unknown
Extent
1 online resource (xiii, 441 pages).
File format
unknown
Form of item
online
Isbn
9789811083174
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-981-10-8318-1
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • on1038714796
  • (OCoLC)1038714796

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