Introduction to stochastic calculus

DOI10.1007/978-981-10-8318-1zbMath1434.60003OpenAlexW4302048665MaRDI QIDQ5895036

B. V. Rao, Rajeeva L. Karandikar

Publication date: 18 July 2018

Published in: Indian Statistical Institute Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-981-10-8318-1

zbMATH Keywords

martingalessemimartingalesstochastic integralsGirsanov theoremIto's formulapathwise stochastic integralpathwise stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items (2)

Stochastic integration with respect to cylindrical semimartingales ⋮ Stochastic integrals and two filtrations

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