Logo

Introduction to Stochastic Analysis

Small book cover: Introduction to Stochastic Analysis

Introduction to Stochastic Analysis
by

Publisher: Universitaet Bielefeld
Number of pages: 98

Description:
From the table of contents: Introduction to Pathwise Ito-Calculus; (Semi-)Martingales and Stochastic Integration; Markov Processes and Semigroups - Application to Brownian Motion; Girsanov Transformation; Time Transformation.

This document is no more available for free.

Similar books

Book cover: Probability TheoryProbability Theory
by - New York University
These notes are based on a first year graduate course on Probability and Limit theorems given at Courant Institute of Mathematical Sciences. The text covers discrete time processes. A small amount of measure theory is included.
(14937 views)
Book cover: Lectures on Integrable ProbabilityLectures on Integrable Probability
by - arXiv
Topics include integrable models of random growth, determinantal point processes, Schur processes and Markov dynamics on them, Macdonald processes and their application to asymptotics of directed polymers in random media.
(4735 views)
Book cover: Basic Probability TheoryBasic Probability Theory
by - Dover Publications
This text surveys random variables, conditional probability and expectation, characteristic functions, infinite sequences of random variables, Markov chains, and an introduction to statistics. Geared toward advanced undergraduates and graduates.
(11908 views)
Book cover: Radically Elementary Probability TheoryRadically Elementary Probability Theory
by - Princeton University Press
In this book Nelson develops a new approach to probability theory that is just as powerful as but much simpler than conventional Kolmogorov-style probability theory used throughout mathematics for most of the 20th century.
(13972 views)