000			01748 a2200193 4500
005			20251011165000.0
008			251011b |||||||| |||| 00| 0 eng d
020			_a9789811083174
082			_a519.2 _bKarI
100			_aRajeeva L. Karandikar,
245			_aIntroduction to Stochastic Calculus / _cRajeeva L. Karandikar, B. V. Rao
260			_bSpringer : _aSingapore , _c©2018.
300			_axiii, 441p.
440			_aIndian Statistical Institute Series :
520			_aThis book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance. The first book to introduce pathwise formulae for the stochastic integral, it provides a simple but rigorous treatment of the subject, including a range of advanced topics. The book discusses in-depth topics such as quadratic variation, Ito formula, and Emery topology. The authors briefly addresses continuous semi-martingales to obtain growth estimates and study solution of a stochastic differential equation (SDE) by using the technique of random time change. Later, by using Metivier–Pellaumail inequality, the solutions to SDEs driven by general semi-martingales are discussed. The connection of the theory with mathematical finance is briefly discussed and the book has extensive treatment on the representation of martingales as stochastic integrals and a second fundamental theorem of asset pricing. Intended for undergraduate- and beginning graduate-level students in the engineering and mathematics disciplines, the book is also an excellent reference resource for applied mathematicians and statisticians looking for a review of the topic.
650			_aCalculus
700			_aRao, B. V.
942			_cBK
999			_c7423 _d7423