Welcome to E-Books Directory
This is a freely downloadable e-book.

Lectures on Stochastic Analysis
by Thomas G. Kurtz

Publisher: University of Wisconsin 2007
Number of pages: 119

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 here:

Download link

 (700KB, PDF)