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Introduction to Stochastic Integration

Focusing on stochastic integration, this book provides an introduction to the Ito calculus, and covers the following topics: Constructions of Brownian motion; Stochastic integrals for Brownian motion and martingales; The Ito formula; Multiple Wiener-Ito integrals; Stochastic differential equations; and more. «

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Author(s):

H.H. Kuo, Hui-Hsiung Kuo

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ISBN

9780387287201

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