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Introduction To Stochastic Integration by Hui-hsiung Kuo, Paperback | Indigo Chapters

From Hui-hsiung Kuo

Current price: $102.50
Introduction To Stochastic Integration by Hui-hsiung Kuo, Paperback | Indigo Chapters
Introduction To Stochastic Integration by Hui-hsiung Kuo, Paperback | Indigo Chapters

From Hui-hsiung Kuo

Introduction To Stochastic Integration by Hui-hsiung Kuo, Paperback | Indigo Chapters

Current price: $102.50
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In the Leibniz-Newton calculus, one learns the di?erentiation and integration of deterministic functions. A basic theorem in di?erentiation is the chain rule, which gives the derivative of a composite of two di?erentiable functions. The chain rule, when written in an inde?nite integral form, yields the method of substitution. In advanced calculus, the Riemann-Stieltjes integral is de?ned through the same procedure of "partition-evaluation-summation-limit" as in the Riemann integral. In dealing with random functions such as functions of a Brownian motion, the chain rule for the Leibniz-Newton calculus breaks down. A Brownian motionmovessorapidlyandirregularlythatalmostallofitssamplepathsare nowhere di?erentiable. Thus we cannot di?erentiate functions of a Brownian motion in the same way as in the Leibniz-Newton calculus. In 1944 Kiyosi ItË o published the celebrated paper "Stochastic Integral" in the Proceedings of the Imperial Academy (Tokyo). It was the beginning of the ItË o calculus, the counterpart of the Leibniz-Newton calculus for random functions. In this six-page paper, ItË o introduced the stochastic integral and a formula, known since then as ItË o's formula. The ItË o formula is the chain rule for the ItËocalculus. Butitcannotbe expressed as in the Leibniz-Newton calculus in terms of derivatives, since a Brownian motion path is nowhere di?erentiable. The ItË o formula can be interpreted only in the integral form. Moreover, there is an additional term in the formula, called the ItË o correction term, resulting from the nonzero quadratic variation of a Brownian motion. | Introduction To Stochastic Integration by Hui-hsiung Kuo, Paperback | Indigo Chapters

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