{"product_id":"9781461288374","title":"Introduction to Stochastic Integration","description":"\u003cp\u003eA highly readable introduction to shastic integration and shastic differential equations, this book combines developments of the basic theory with applications. It is written in a style suitable for the text of a graduate course in shastic calculus, following a course in probability.\u003c\/p\u003e\u003cp\u003eUsing the modern approach, the shastic integral is defined for predictable integrands and local martingales; then Itô’s change of variable formula is developed for continuous martingales. Applications include a characterization of Brownian motion, Hermite polynomials of martingales, the Feynman-Kac functional and Schrödinger equation. For Brownian motion, the topics of local time, reflected Brownian motion, and time change are discussed.\u003c\/p\u003e\u003cp\u003eNew to the second edition are a discussion of the Cameron-Martin-Girsanov transformation and a final chapter which provides an introduction to shastic differential equations, as well as many exercises for classroom use.\u003c\/p\u003e\u003cp\u003eThis book will be a valuable resource to all mathematicians, statisticians, economists, and engineers employing the modern tools of shastic analysis.\u003c\/p\u003e\u003cp\u003e\u003ci\u003eThe text also proves that shastic integration has made an important impact on mathematical progress over the last decades and that shastic calculus has become one of the most powerful tools in modern probability theory. \u003c\/i\u003e\u003c\/p\u003e\u003cp\u003e—Journal of the American Statistical Association \u003c\/p\u003e\u003cp\u003e\u003ci\u003e[horizontal dagger separator] \u003c\/i\u003e\u003c\/p\u003e\u003cp\u003e\u003ci\u003eAn attractive text…written in [a] lean and precise style…eminently readable. Especially pleasant are the care and attention devoted to details… A very fine book. \u003c\/i\u003e\u003c\/p\u003e\u003cp\u003e—Mathematical Reviews\u003c\/p\u003e","brand":"Springer New York","offers":[{"title":"Default Title","offer_id":47053077774576,"sku":"9781461288374","price":79.95,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0737\/7593\/9824\/files\/9781461288374_p0.jpg?v=1763673369","url":"https:\/\/shop-qa.barnesandnoble.com\/products\/9781461288374","provider":"Barnes \u0026 Noble (DEV)","version":"1.0","type":"link"}