Introduction to Stochastic Integration (eBook, PDF)
Hui-Hsiung Kuo
eBook, PDF

Introduction to Stochastic Integration (eBook, PDF)

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The theory of stochastic integration, also called the Ito calculus, has a large spectrum of applications in virtually every scientific area involving random functions, but it can be a very difficult subject for people without much mathematical background. The Ito calculus was originally motivated by the construction of Markov diffusion processes from infinitesimal generators. Previously, the construction of such processes required several steps, whereas Ito constructed these diffusion processes directly in a single step as the solutions of stochastic integral equations associated with the infi...

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