Introduction to stochastic calculus

DOI10.1007/978-981-10-8318-1MaRDI QIDQ5895036zbMATH OpenOpenAlexFDO

Authors Rajeeva L. Karandikar, B. V. Rao

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

Girsanov theoremIto's formulamartingalespathwise stochastic differential equationpathwise stochastic integralsemimartingalesstochastic integrals

Mathematics Subject Classification ID

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

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Cited in

(16)

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