Introduction to Stochastic Integration
Williams, Ruth J. / Chung, Kai L.![Introduction to Stochastic Integration](https://support.digitalhusky.com/media/annotations/sorted/154/15467455/CHSBZCOP0315467455.jpg)
This is a substantial expansion of the first edition. The last chapter on stochastic differential equations is entirely new, as is the longish section §9.4 on the Cameron-Martin-Girsanov formula. Illustrative examples in Chapter 10 include the warhorses attached to the names of L. S. Ornstein, Uhlenbeck and Bessel, but also a novelty named after Black and Scholes. The Feynman-Kac-Schrooinger development (§6.4) and the material on re flected B...