Introduction to Stochastic Integration
Hui-Hsiung Kuo
Springer-Verlag New York Inc., 2005
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It was the beginning of the Itˆ o calculus, the counterpart of the Leibniz–Newton calculus for random functions. The Itˆ o formula is the chain rule for the Itˆocalculus.Butitcannotbe expressed as in the Leibniz–Newton calculus in terms of derivatives, since a Brownian motion path is nowhere di?erentiable.
- ISBN-13
- 9780387287201
- ISBN-10
- 0387287205
- Publisher
- Springer-Verlag New York Inc.
- Year
- 2005
- Publication date
- 2005-11-15
- Pages
- 279
- Dimensions
- 235x156x18
- Weight
- 476