Lectures on Stochastic Analysis
by Thomas G. Kurtz
Publisher: University of Wisconsin 2007
Number of pages: 119
Description:
The course will introduce stochastic integrals with respect to general semimartingales, stochastic differential equations based on these integrals, integration with respect to Poisson random measures, stochastic differential equations for general Markov processes, change of measure, and applications to finance, filtering and control. The intention has been to state the theorems correctly with all hypotheses, but no attempt has been made to include detailed proofs.
Download or read it online for free here:
Download link
(700KB, PDF)
Similar books
Probability and Statistics- UCLA
This book is developed as a free, collaborative and interactive learning environment for elementary probability and statistics education. The book blends information technology, scientific techniques and modern pedagogical concepts.
(18364 views)
Introduction Probaility and Statisticsby Muhammad El-Taha - University of Southern Maine
Topics: Data Analysis; Probability; Random Variables and Discrete Distributions; Continuous Probability Distributions; Sampling Distributions; Point and Interval Estimation; Large Sample Estimation; Large-Sample Tests of Hypothesis; etc.
(27642 views)
Topics in Random Matrix Theoryby Terence Tao
This is a textbook for a graduate course on random matrix theory, inspired by recent developments in the subject. This text focuses on foundational topics in random matrix theory upon which the most recent work has been based.
(14318 views)
Applied Nonparametric Regressionby Wolfgang Härdle - Cambridge University Press
Nonparametric regression analysis has become central to economic theory. Hardle, by writing the first comprehensive and accessible book on the subject, contributed enormously to making nonparametric regression equally central to econometric practice.
(26897 views)