03476nam 22005295 450 991073372430332120200630083501.0981-10-8318-510.1007/978-981-10-8318-1(CKB)3810000000358853(DE-He213)978-981-10-8318-1(MiAaPQ)EBC6311229(PPN)229492509(EXLCZ)99381000000035885320180601d2018 u| 0engurnn|008mamaatxtrdacontentcrdamediacrrdacarrierIntroduction to Stochastic Calculus /by Rajeeva L. Karandikar, B. V. Rao1st ed. 2018.Singapore :Springer Singapore :Imprint: Springer,2018.1 online resource (XIII, 441 p.) Indian Statistical Institute Series,2523-3114981-10-8317-7 Discrete Parameter Martingales -- Continuous Time Processes -- The Ito Integral -- Stochastic Integration -- Semimartingales -- Pathwise Formula for the Stochastic Integral -- Continuous Semimartingales -- Predictable Increasing Processes -- The Davis Inequality -- Integral Representation of Martingales -- Dominating Process of a Semimartingale -- SDE driven by r.c.l.l. Semimartingales -- Girsanov Theorem.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 Metivier–Pellaumail 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.Indian Statistical Institute Series,2523-3114Statistics ProbabilitiesStatistical Theory and Methodshttps://scigraph.springernature.com/ontologies/product-market-codes/S11001Probability Theory and Stochastic Processeshttps://scigraph.springernature.com/ontologies/product-market-codes/M27004Statistics .Probabilities.Statistical Theory and Methods.Probability Theory and Stochastic Processes.519.2Karandikar Rajeeva Lauthttp://id.loc.gov/vocabulary/relators/aut55570Rao B. Vauthttp://id.loc.gov/vocabulary/relators/autMiAaPQMiAaPQMiAaPQBOOK9910733724303321Introduction to Stochastic Calculus3398478UNINA