Introduction to stochastic integration
Auteur :
Kuo, Hui-Hsiung
Éditeur :
Springer-Verlag New York Inc.
ISBN :
9780387287201
Date de publication :
15 nov. 2005
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
USA
It was the beginning of the Itˆ o calculus, the counterpart of the Leibniz–Newton calculus for random functions. The Itˆ o formula is the chain rule for the Itˆocalculus.Butitcannotbe expressed as in the Leibniz–Newton calculus in terms of derivatives, since a Brownian motion path is nowhere di?erentiable.