Zustand: New. This is a Brand-new US Edition. This Item may be shipped from US or any other country as we have multiple locations worldwide. Bestandsnummer des Verk�ufers ABNR-172587

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Introduction To Stochastic Calculus

Rajeeva L. Karandikar And B. V. Rao

Verlag: Hindustan, 2018

ISBN 10: 938627972X ISBN 13: 9789386279729

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Hardcover. Zustand: New. ISBN:9789386279729. Bestandsnummer des Verk�ufers 2296126

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Introduction to Stochastic Calculus

Rajeeva L. Karandikar and B. V. Rao

Verlag: Hindustan Book Agency, 2018

ISBN 10: 938627972X ISBN 13: 9789386279729

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Hardcover. Zustand: New. 1st Edition. Contents: 1. Discrete Parameter Martingales. 2. Continuous-Time Processes. 3. The Ito's Integral. 4. Stochastic Integration. 5. Semimartingales. 6. Pathwise Formula for the Stochastic Integral. 7. Continuous Semimartingales. 8. Predictable Increasing Processes. 9. The Davis Inequality. 10. Integral Representation of Martingales. 11. Dominating Process of a Semimartingale. 12. SDE Driven by r.c.l.l. Semimartingales. 13. Girsanov Theorem. Bibliography. Index. 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 MetivierPellaumail 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. Bestandsnummer des Verk�ufers 126930

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