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Science/Engineering Stochastic Integrals (Advanced Lectures in Mathematics)

Posted on 2010-03-16




Name:Science/Engineering Stochastic Integrals (Advanced Lectures in Mathematics)
ASIN/ISBN:3528163100
Language:English
File size:2 Mb
ISBN: 3528163100
Publish Date: 1995
Pages: 332 Pages
File Size: 2 MB
Other Info: Friedrich Vieweg & Sohn Verlag; DJVU
   Science/Engineering Stochastic Integrals (Advanced Lectures in Mathematics)

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Heinrich von Weizsaecher, Gerhard Winkler: "Stochastic Integrals (Advanced Lectures in Mathematics)"

This chapter first recalls some background information about the two basic processes Brownian motion and Poisson process. Then in section 1.2 a couple of preliminary versions of stochastic integration concepts are presented. They show that for many applications a straightforward approach is sufficient. In the third section we overview some of the main ideas of the later chapters in order to give the reader a flavour of the things to come. In this chapter we freely use some notions from probability theory with which the reader perhaps is not perfectly familiar. One should not worry about this but try to grasp the ideas. All concepts will be thoroughly introduced in the later chapters where they are needed.

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