The Resource Introduction to stochastic calculus, Rajeeva L. Karandikar, B. V. Rao
Introduction to stochastic calculus, Rajeeva L. Karandikar, B. V. Rao
Resource Information
The item Introduction to stochastic calculus, Rajeeva L. Karandikar, B. V. Rao represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Liverpool.This item is available to borrow from 1 library branch.
Resource Information
The item Introduction to stochastic calculus, Rajeeva L. Karandikar, B. V. Rao represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Liverpool.
This item is available to borrow from 1 library branch.
 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 indepth topics such as quadratic variation, Ito formula, and Emery topology. The authors briefly address continuous semimartingales 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 semimartingales 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 graduatelevel 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
 Language
 eng
 Extent
 1 online resource (xiii, 441 pages).
 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
 Isbn
 9789811083174
 Label
 Introduction to stochastic calculus
 Title
 Introduction to stochastic calculus
 Statement of responsibility
 Rajeeva L. Karandikar, B. V. Rao
 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 indepth topics such as quadratic variation, Ito formula, and Emery topology. The authors briefly address continuous semimartingales 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 semimartingales 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 graduatelevel 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
 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
 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
 10.1007/9789811083181
 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
 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
 10.1007/9789811083181
 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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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.liverpool.ac.uk/portal/IntroductiontostochasticcalculusRajeevaL./u0tOHRzPAnU/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.liverpool.ac.uk/portal/IntroductiontostochasticcalculusRajeevaL./u0tOHRzPAnU/">Introduction to stochastic calculus, Rajeeva L. Karandikar, B. V. Rao</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.liverpool.ac.uk/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.liverpool.ac.uk/">University of Liverpool</a></span></span></span></span></div>