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This graduate level text covers the theory of stochastic integration, an important area of Mathematics with a wide range of applications, including financial mathematics and signal processing. - ;This graduate level text covers the theory of stochastic integration, an important area of Mathematics that has a wide range of applications, including financial mathematics and signal processing. Aimed at graduate students in Mathematics, Statistics, Probability, Mathematical Finance, and Economics, the book not only covers the theory of the stochastic integral in great depth but also presents the associated theory (martingales, Levy processes) and important examples (Brownian
motion, Poisson process). -
Subject categories
- Academic > Mathematics > Probabilities. Mathematical statistics > Stochastic processes
- Academic > Mathematics > Probabilities. Mathematical statistics > Stochastic analysis
- Academic > Mathematics > Probabilities. Mathematical statistics > Stochastic integrals
- Academic > Mathematics > General
- Mathematics > Probability & Statistics
ISBNs
0191526886
9780191526886
9780199215256