Chapter

Basic Itô calculus

Jacques Franchi and Yves Le Jan

in Hyperbolic Dynamics and Brownian Motion

Published in print August 2012 | ISBN: 9780199654109
Published online January 2013 | e-ISBN: 9780191745676 | DOI: http://dx.doi.org/10.1093/acprof:oso/9780199654109.003.0006

Series: Oxford Mathematical Monographs

Basic Itô calculus

More Like This

Show all results sharing this subject:

  • Mathematical and Statistical Physics

GO

Show Summary Details

Preview

This chapter deals with the basic Itô calculus. Fundamental notions such as predictability, martingales and stopping times are introduced in the discrete case. The chapter then gives a short account of the necessary background on martingales and Brownian motion, and the chapter deals finally with the basic tools of Itô's calculus: the stochastic integral and the Itô change-of-variable formula.

Keywords: Brownian motion; martingales; stochastic integral; Itô calculus; Stratonovich integral

Chapter.  11588 words. 

Subjects: Mathematical and Statistical Physics

Full text: subscription required

How to subscribe Recommend to my Librarian

Buy this work at Oxford University Press »

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content.