Introduction to stochastic integration

DOI10.1007/978-1-4614-9587-1MaRDI QIDQ384813zbMATH OpenOpenAlexFDO

Authors Kai Lai Chung, R. J. Williams

Publication date 28 November 2013

Published in Modern Birkhäuser Classics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4614-9587-1

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic integrals (60H05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01)

Cited in

(14)

• scientific article; zbMATH DE number 4078037 (Why is no real title available?)
• A Haar wavelet method for linear and nonlinear stochastic Itô–Volterra integral equation driven by a fractional Brownian motion
• Linearization and a superposition principle for deterministic and stochastic nonlinear Fokker-Planck-Kolmogorov equations
• A stochastic-statistical residential burglary model with independent Poisson clocks
• scientific article; zbMATH DE number 2092612 (Why is no real title available?)
• On the pathwise solutions to the Camassa-Holm equation with multiplicative noise
• On conditional expectations in \(L^p(\mu ;L^q(\nu ;X))\)
• A stochastic-statistical residential burglary model with finite size effects
• A functional Itō-formula for Dawson-Watanabe superprocesses
• On stochastic conservation laws and Malliavin calculus
• scientific article; zbMATH DE number 3669504 (Why is no real title available?)
• Stochastic nonlinear Fokker-Planck equations
• A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time
• A martingale formulation for stochastic compartmental susceptible-infected-recovered (SIR) models to analyze finite size effects in COVID-19 case studies

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