Brownian Motion and Ito Calculus
نویسنده
چکیده
K Ito s stochastic calculus is a collection of tools which permit us to perform opera tions such as composition integration and di erentiation on functions of Brownian paths and more general random functions known as Ito processes As we shall see Ito calcu lus and Ito processes are extremely useful in the formulation of nancial risk management techniques These notes are intended to introduce the reader to stochastic calculus in a straightforward intuitive way For rigorous treatments of this rich subject the reader can consult for instance Ikeda and Watanabe North Holland Kodansha Varadhan Karatzas and Shreve Springer
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