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Stochastic Integrals
 
Stochastic Integrals
AMS Chelsea Publishing: An Imprint of the American Mathematical Society
Hardcover ISBN:  978-0-8218-3887-7
Product Code:  CHEL/353.H
List Price: $69.00
MAA Member Price: $62.10
AMS Member Price: $62.10
eBook ISBN:  978-1-4704-3029-0
Product Code:  CHEL/353.H.E
List Price: $65.00
MAA Member Price: $58.50
AMS Member Price: $58.50
Hardcover ISBN:  978-0-8218-3887-7
eBook: ISBN:  978-1-4704-3029-0
Product Code:  CHEL/353.H.B
List Price: $134.00 $101.50
MAA Member Price: $120.60 $91.35
AMS Member Price: $120.60 $91.35
Stochastic Integrals
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Stochastic Integrals
AMS Chelsea Publishing: An Imprint of the American Mathematical Society
Hardcover ISBN:  978-0-8218-3887-7
Product Code:  CHEL/353.H
List Price: $69.00
MAA Member Price: $62.10
AMS Member Price: $62.10
eBook ISBN:  978-1-4704-3029-0
Product Code:  CHEL/353.H.E
List Price: $65.00
MAA Member Price: $58.50
AMS Member Price: $58.50
Hardcover ISBN:  978-0-8218-3887-7
eBook ISBN:  978-1-4704-3029-0
Product Code:  CHEL/353.H.B
List Price: $134.00 $101.50
MAA Member Price: $120.60 $91.35
AMS Member Price: $120.60 $91.35
  • Book Details
     
     
    AMS Chelsea Publishing
    Volume: 3531969; 141 pp
    MSC: Primary 60

    This little book is a brilliant introduction to an important boundary field between the theory of probability and differential equations.

    E. B. Dynkin, Mathematical Reviews

    This well-written book has been used for many years to learn about stochastic integrals. The book starts with the presentation of Brownian motion, then deals with stochastic integrals and differentials, including the famous Itô lemma. The rest of the book is devoted to various topics of stochastic integral equations, including those on smooth manifolds.

    Originally published in 1969, this classic book is ideal for supplementary reading or independent study. It is suitable for graduate students and researchers interested in probability, stochastic processes, and their applications.

    Readership

    Graduate students and research mathematicians interested in probability, stochastic processes, and their applications.

  • Table of Contents
     
     
    • Chapters
    • Chapter 1. Brownian motion
    • Chapter 2. Stochastic integrals and differentials
    • Chapter 3. Stochastic integral equations $(d=1)$
    • Chapter 4. Stochastic integral equations $(d\geq 2)$
  • Requests
     
     
    Review Copy – for publishers of book reviews
    Permission – for use of book, eBook, or Journal content
    Accessibility – to request an alternate format of an AMS title
Volume: 3531969; 141 pp
MSC: Primary 60

This little book is a brilliant introduction to an important boundary field between the theory of probability and differential equations.

E. B. Dynkin, Mathematical Reviews

This well-written book has been used for many years to learn about stochastic integrals. The book starts with the presentation of Brownian motion, then deals with stochastic integrals and differentials, including the famous Itô lemma. The rest of the book is devoted to various topics of stochastic integral equations, including those on smooth manifolds.

Originally published in 1969, this classic book is ideal for supplementary reading or independent study. It is suitable for graduate students and researchers interested in probability, stochastic processes, and their applications.

Readership

Graduate students and research mathematicians interested in probability, stochastic processes, and their applications.

  • Chapters
  • Chapter 1. Brownian motion
  • Chapter 2. Stochastic integrals and differentials
  • Chapter 3. Stochastic integral equations $(d=1)$
  • Chapter 4. Stochastic integral equations $(d\geq 2)$
Review Copy – for publishers of book reviews
Permission – for use of book, eBook, or Journal content
Accessibility – to request an alternate format of an AMS title
Please select which format for which you are requesting permissions.