Lectures on Stochastic Analysis

Lectures on Stochastic Analysis

Publisher: University of Wisconsin
Number of pages: 119

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.

Home page url

Download or read it online for free here:
Download link
(700KB, PDF)

Similar books

Book cover: A defense of Columbo: A multilevel introduction to probabilistic reasoningA defense of Columbo: A multilevel introduction to probabilistic reasoning
by - arXiv
Triggered by a recent interesting article on the too frequent incorrect use of probabilistic evidence in courts, the author introduces the basic concepts of probabilistic inference with a toy model, and discusses several important issues.
Book cover: Markov Chains and Mixing TimesMarkov Chains and Mixing Times
by - American Mathematical Society
An introduction to the modern approach to the theory of Markov chains. The main goal of this approach is to determine the rate of convergence of a Markov chain to the stationary distribution as a function of the size and geometry of the state space.
Book cover: Theory of Probability: A Historical EssayTheory of Probability: A Historical Essay
by - arXiv.org
This book covers the history of probability up to Kolmogorov with essential additional coverage of statistics up to Fisher. The book covers an extremely wide field, and is targeted at the same readers as any other book on history of science.
Book cover: An Introduction to Stochastic PDEsAn Introduction to Stochastic PDEs
by - arXiv
This text is an attempt to give a reasonably self-contained presentation of the basic theory of stochastic partial differential equations, taking for granted basic measure theory, functional analysis and probability theory, but nothing else.