Introduction to stochastic integration.
This is a very good book on stochastic integration covering subjects from a construction of a Brownian motion to stochastic differential equations. It grew up from lecture notes the author elaborated during several years, and can be equally well used for teaching and self-education. The text is extremely clear and concise both in language and mathematical notation. Every topic is illustrated by simple and motivating examples. The author gives much effort to explain the subject to an unprepared reader without going deep into elementary details. The genuine jewels of the book are numerous notes about a natural development of mathematical ideas and usefulness of new notions. Every chapter is followed by theoretical and computational exercises. For instance, a reader can be offered to prove a part of a theorem or to determine a homogeneous chaos expansion of a certain function. After a short introductory chapter about Riemann-Stieltjes integration the author passes to elementary properties of a standard one-dimensional Brownian motion and a definition of a Wiener integral. The Brownian motion is constructed in Chapter 3 with the help of Kolmogorov's extension theorem, whereas the alternative constructions due to Wiener and Lévy are briefly discussed. In the next two chapters, Itô's integral is introduced and studied for square integrable and a.s.\ finite integrands. Further, Itô's integral with respect to square integrable rcll martingales is constructed. Itô's formula is proved in Chapter 7. Chapter 8 is devoted to its various applications. In particular, Stratonovich integrals, local times and Girsanov's change of measure are discussed. The next chapter is devoted to multiple Wiener integrals and chaos expansions. These topics are not often covered in textbooks, and the author fills this gap. Stochastic differential equations are the subject of Chapter 10. Finally, the last chapter is devoted to various aspects of the theory of SDEs: linear SDEs, Black-Scholes formula, filtering theory, Feynman-Kac formula, Wong-Zakai approximations, white noise and electric circuits. This is a timely, happily designed and well written book. It will be useful for unprepared and advanced readers.
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- Second-order stochastic differential equation model as an alternative for the ALT and CALT models
- A structure-preserving method for the distribution of the first hitting time to a moving boundary for some Gaussian processes
- Convergence of a finite volume scheme for a stochastic conservation law involving a \(Q\)-Brownian motion
- Strong solutions of stochastic models for viscoelastic flows of Oldroyd type
- Martingale solutions for the three-dimensional stochastic nonhomogeneous incompressible Navier-Stokes equations driven by Lévy processes
- Balanced model order reduction for linear random dynamical systems driven by Lévy noise
- Local times of self-intersection
- Sequential tests controlling generalized familywise error rates
- Non-fragile observer-based \(\mathcal{H}_\infty\) control for stochastic time-delay systems
- Stochastic permanence of two impulsive stochastic delay single species systems incorporating predation term
- A stochastic mass conserved reaction-diffusion equation with nonlinear diffusion
- Global synchronization of neutral-type stochastic delayed complex networks
- Asymptotic behavior of solutions to abstract stochastic fractional partial integrodifferential equations
- Numerical solution of stochastic Itô-Volterra integral equations based on Bernstein multi-scaling polynomials
- Deep state-space Gaussian processes
- The local existence of strong solution for the stochastic 3D Boussinesq equations
- A remark on triviality for the two-dimensional stochastic nonlinear wave equation
- An extension of the Cameron-Martin translation theorem via Fourier-Hermite functionals
- On the stochastic nonlinear Schrödinger equations at critical regularities
- Delay-dependent stability analysis of stochastic time-delay systems involving Poisson process
- Polynomial stability of highly non-linear time-changed stochastic differential equations
- Optimization based model order reduction for stochastic systems
- On the eigenfunctions of the complex Ornstein-Uhlenbeck operators
- Quadratic variation of martingales in Riesz spaces
- Finite dimensional models for random functions
- Local and global strong solutions to the stochastic incompressible Navier-Stokes equations in critical Besov space
- Girsanov's theorem in vector lattices
- The Itô-Henstock stochastic differential equations
- On the one-dimensional cubic nonlinear Schrödinger equation below \(L^{2}\)
- New results on delay-dependent stability analysis for neutral stochastic delay systems
- Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm
- Hermite ranks and \(U\)-statistics
- Loss reserves in the light of stochastic processes
- \( \mathcal{H}_\infty\) control for Poisson-driven stochastic systems
- On the stochastic Magnus expansion and its application to SPDEs
- Imitation dynamics with payoff shocks
- Operator scaled Wiener bridges
- Gaussian and non-Gaussian processes of zero power variation
- Intrinsic volumes of Sobolev balls with applications to Brownian convex hulls
- Orientation maps in V1 and non-Euclidean geometry
- A fluid introduction to Brownian motion and stochastic integration
- Abrupt convergence for stochastic small perturbations of one dimensional dynamical systems
- A modern theory of random variation. With applications in stochastic calculus, financial mathematics, and Feynman integration
- Convergence of weighted empirical measures
- Stepanov-like weighted asymptotic behavior of solutions to some stochastic differential equations in Hilbert spaces
- Stochastic Integration in Banach Spaces
- Near-invariance under dynamic scaling for Navier-Stokes equations in critical spaces: a probabilistic approach to regularity problems
- On the fourth moment theorem for complex multiple Wiener–Itô integrals
- CLT for the zeros of classical random trigonometric polynomials
- Stability of the solution of stochastic differential equation driven by time-changed Lévy noise
- Global strong solution to the three-dimensional stochastic incompressible magnetohydrodynamic equations
- Robust resilient L₂- L_ control for uncertain stochastic systems with multiple time delays via dynamic output feedback
- Introduction to stochastic analysis. Integrals and differential equations
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- Optimal global approximation of stochastic differential equations with additive Poisson noise
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- A Kolmogorov-type theorem for stochastic fields
- Parametric models for samples of random functions
- Optimal approximation of stochastic integrals with respect to a homogeneous Poisson process
- Stochastic integrations with respect to Brownian motion
- Global synchronization of stochastic delayed complex networks
- Stochastic Integration with Jumps
- An extension of Wiener integration with the use of operator theory
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- Step-up and step-down methods for testing multiple hypotheses in sequential experiments
- Wigner chaos and the fourth moment
- Stochastic Integration with Jumps
- Renormalization of the two-dimensional stochastic nonlinear wave equations
- Ulam-Hyers-Rassias stability of a nonlinear stochastic Ito-Volterra integral equation
- Ulam-Hyers-Rassias stability of a nonlinear stochastic integral equation of Volterra type
- The Itô integral for Brownian motion in vector lattices. I
- The Itô integral for Brownian motion in vector lattices. II
- Hölder-continuity for the nonlinear stochastic heat equation with rough initial conditions
- Optimal portfolio for the -hypergeometric stochastic volatility model
- The weak convergence of Euler method for nonlinear stochastic fractional differential equations
- Sup-norm convergence rates for Lévy density estimation
- Fractionally Integrated Moving Average Stable Processes With Long-Range Dependence
- Adaptive multilevel Monte Carlo for probabilities
- Cameron-Storvick theorem associated with Gaussian paths on function space
- Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
- Compositions of states and observables in Fock spaces
- Stochastic integral for non-adapted processes related to sub-fractional Brownian motion when \(H>\frac{1}{2}\)
- Theoretical error analysis and validation in numerical solution of two-dimensional linear stochastic Volterra-Fredholm integral equation by applying the block-pulse functions
- Itô vs Stratonovich in the presence of absorbing states
- Construction of the Black-Scholes PDE with jump-diffusion model
- \(\mathcal{H}_\infty\) filtering for stochastic systems driven by Poisson processes
- Constructing the Itô stochastic integral
- The zitterbewegung region
- PC translation models for random vectors and multivariate extremes
- Stochastic integration theory.
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- Almost sure exponential stability for time-changed stochastic differential equations
- Input-to-state stability for large-scale stochastic impulsive systems with state delay
- On Optimal Linear Regulator with Polynomial Process of External Excitations
- Noise-induced oscillations in an actively mode-locked laser
- Delay‐dependent stability analysis and stabilization of stochastic time‐delay systems governed by the Poisson process and Brownian motion
- Yule's ``nonsense correlation for Gaussian random walks
- Derivation of the viscoelastic stress in Stokes flows induced by nonspherical Brownian rigid particles through homogenization
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