Logo

Lectures on Stochastic Analysis

Lectures on Stochastic Analysis
by

Publisher: University of Wisconsin
Number of pages: 119

Description:
The course will introduce stochastic integrals with respect to general semimartingales, stochastic differential equations based on these integrals, integration with respect to Poisson random measures, stochastic differential equations for general Markov processes, change of measure, and applications to finance, filtering and control. The intention has been to state the theorems correctly with all hypotheses, but no attempt has been made to include detailed proofs.

Home page url

Download or read it online for free here:
Download link
(700KB, PDF)

Similar books

Book cover: Lectures on Noise Sensitivity and PercolationLectures on Noise Sensitivity and Percolation
by - arXiv
The goal of this set of lectures is to combine two seemingly unrelated topics: (1) The study of Boolean functions, a field particularly active in computer science; (2) Some models in statistical physics, mostly percolation.
(6378 views)
Book cover: Markov Chains and Stochastic StabilityMarkov Chains and Stochastic Stability
by - Springer
The book on the theory of general state space Markov chains, and its application to time series analysis, operations research and systems and control theory. An advanced graduate text and a monograph treating the stability of Markov chains.
(15089 views)
Book cover: Advanced Data Analysis from an Elementary Point of ViewAdvanced Data Analysis from an Elementary Point of View
by - Cambridge University Press
This is a draft textbook on data analysis methods, intended for a one-semester course for advance undergraduate students who have already taken classes in probability, mathematical statistics, and linear regression. It began as the lecture notes.
(3395 views)
Book cover: Design of Comparative ExperimentsDesign of Comparative Experiments
by - Cambridge University Press
This book develops a coherent framework for thinking about factors that affect experiments and their relationships, including the use of Hasse diagrams. The book is ideal for advanced undergraduate and beginning graduate courses.
(15000 views)