Introduction to Stochastic Analysis

Small book cover: Introduction to Stochastic Analysis

Introduction to Stochastic Analysis

Publisher: Universitaet Bielefeld
Number of pages: 98

From the table of contents: Introduction to Pathwise Ito-Calculus; (Semi-)Martingales and Stochastic Integration; Markov Processes and Semigroups - Application to Brownian Motion; Girsanov Transformation; Time Transformation.

This document is no more available for free.

Similar books

Book cover: Mathematical Foundations of Probability TheoryMathematical Foundations of Probability Theory
by - arXiv.org
The fundamental aspects of Probability Theory are presented from a pure mathematical view based on Measure Theory. Such an approach places Probability Theory in its natural frame of Functional Analysis and offers a basis towards Statistics Theory.
Book cover: Random Graphs and Complex NetworksRandom Graphs and Complex Networks
by - Eindhoven University of Technology
These lecture notes are intended to be used for master courses, where the students have a limited prior knowledge of special topics in probability. We have included many of the preliminaries, such as convergence of random variables, etc.
Book cover: Basic Probability TheoryBasic Probability Theory
by - Dover Publications
This text surveys random variables, conditional probability and expectation, characteristic functions, infinite sequences of random variables, Markov chains, and an introduction to statistics. Geared toward advanced undergraduates and graduates.
Book cover: Extracting Information from Random DataExtracting Information from Random Data
by - arXiv
We formulate conditions for convergence of Laws of Large Numbers and show its links with of parts mathematical analysis such as summation theory, convergence of orthogonal series. We present also various applications of Law of Large Numbers.