Rajeeva L. Karandikar, B. V. Rao

eBook, PDF

Introduction to Stochastic Calculus (eBook, PDF)

Beschreibung

Defines quadratic variation of a square integrable martingale
Demonstrates pathwise formulae for the stochastic integral
Uses the technique of random time change to study the solution of a stochastic differential equation
Studies the predictable increasing process to introduce predictable stopping times and prove the Doob Meyer decomposition theorem
Is useful for a two-semester graduate level course on measure theory and probability

Technische Details

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• Größe: 4.85MB

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Autor

Rajeeva Laxman Karandikar has been professor and director of Chennai Mathematical Institute, Tamil Nadu, India, since 2010. An Indian mathematician, statistician and psephologist, Prof. Karandikar is a fellow of the Indian Academy of Sciences, Bengaluru, India, and the Indian National Science Academy, New Delhi, India. He received his MStat and PhD from the Indian Statistical Institute, Kolkata, India, in 1978 and 1981, respectively. He spent two years as a visiting professor at the University of North Carolina, Chapel Hill, USA, and worked with Prof. Gopinath Kallianpur. He returned to the Indian Statistical Institute, New Delhi, India, in 1984. In 2006, he moved to Cranes Software International Limited, where he was executive vice president for analytics until 2010. His research interests include stochastic calculus, filtering theory, option pricing theory, psephology in the context of Indian elections and cryptography, among others.

B.V. Rao is an adjunct professor at Chennai Mathematical Institute, Tamil Nadu, India. He received his MSc degree in Statistics from Osmania University, Hyderabad, India, in 1965 and the doctoral degree from the Indian Statistical Institute, Kolkata, India, in 1970. His research interests include descriptive set theory, analysis, probability theory and stochastic calculus. He was a professor and later a distinguished scientist at the Indian Statistical Institute, Kolkata. Generations of Indian probabilists have benefitted from his teaching, where he taught from 1973 till 2009.

Produktdetails

• Verlag: Springer Nature Singapore
• Seitenzahl: 441
• Erscheinungstermin: 1. Juni 2018
• Englisch
• ISBN-13: 9789811083181
• Artikelnr.: 52823630

Rezensionen

"The style is compact and clear. The presentation is well complemented by a large number of useful remarks and exercises. Graduate students attending university courses in modern probability theory and its applications can benefit a lot from working with this book. There are good reasons to expect that the book will be met positively by students, university teachers and young researchers." (Jordan M. Stoyanov, zbMATH 1434.60003, 2020)