Introduction to stochastic integration.
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Publication:2368522
DOI10.1007/0-387-31057-6zbMath1101.60001OpenAlexW2894865090MaRDI QIDQ2368522
Publication date: 21 April 2006
Published in: Universitext (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/0-387-31057-6
stochastic differential equationBrownian motionWiener integralhomogeneous chaosItô's formulamultiple Wiener-Itô integral
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Brownian motion (60J65) Stochastic integrals (60H05)
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