Theory of Stochastic Integrals

Jorge A. Leon

Theory of Stochastic Integrals
Format
Hardback
Publisher
Taylor & Francis Ltd
Country
United Kingdom
Published
8 April 2025
Pages
476
ISBN
9781032778105

Theory of Stochastic Integrals

Jorge A. Leon

In applications of stochastic calculus, there are phenomena that cannot be analyzed through the classical Ito theory. It is necessary, therefore, to have a theory based on stochastic integration with respect to these situations.

Theory of Stochastic Integrals aims to provide the answer to this problem by introducing readers to the study of some interpretations of stochastic integrals with respect to stochastic processes that are not necessarily semimartingales, such as Volterra Gaussian processes, or processes with bounded p-variation among which we can mention fractional Brownian motion and Riemann-Liouville fractional process.

Features

Self-contained treatment of the topic Suitable as a teaching or research tool for those interested in stochastic analysis and its applications Includes original results.

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