Description

Book Synopsis

In applications of stochastic calculus, there are phenomena that cannot be analyzed through the classical Ità theory. It is necessary, therefore, to have a theory based on stochastic integration with respect to these situations.

Theory of Stochastic Integrals aims to provide the answer to this problem by introducing readers to the study of some interpretations of stochastic integrals with respect to stochastic processes that are not necessarily semimartingales, such as Volterra Gaussian processes, or processes with bounded p-variation among which we can mention fractional Brownian motion and Riemann-Liouville fractional process.

Features

  • Self-contained treatment of the topic
  • Suitable as a teaching or research tool for those interested in stochastic analysis and its applications
  • Includes original results.

Theory of Stochastic Integrals

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Order before 4pm tomorrow for delivery by Sat 10 Jan 2026.

A Paperback by Jorge A. León

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    View other formats and editions of Theory of Stochastic Integrals by Jorge A. León

    Publisher: CRC Press
    Publication Date: 4/7/2025
    ISBN13: 9781032778129, 978-1032778129
    ISBN10: 1032778121
    Also in:
    Discrete mathematics

    Description

    Book Synopsis

    In applications of stochastic calculus, there are phenomena that cannot be analyzed through the classical Ità theory. It is necessary, therefore, to have a theory based on stochastic integration with respect to these situations.

    Theory of Stochastic Integrals aims to provide the answer to this problem by introducing readers to the study of some interpretations of stochastic integrals with respect to stochastic processes that are not necessarily semimartingales, such as Volterra Gaussian processes, or processes with bounded p-variation among which we can mention fractional Brownian motion and Riemann-Liouville fractional process.

    Features

    • Self-contained treatment of the topic
    • Suitable as a teaching or research tool for those interested in stochastic analysis and its applications
    • Includes original results.

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