Introduction to stochastic calculus - Karandikar, R. L.; Rao, B. V. (New Delhi: Hindustan Book Agency, 2018)
Discrete Parameter Martingales -- Continuous Time Processes -- The Ito Integral -- Stochastic Integration -- Semimartingales -- Pathwise Formula for the Stochastic Integral -- Continuous Semimartingales -- Predictable Increasing Processes -- The Davis Inequality -- Integral Representation of Martingales -- Dominating Process of a Semimartingale -- SDE driven by r.c.l.l. Semimartingales -- Girsanov Theorem.
Includes bibliographical references and index.
Keywords: Statistics; Stochastic processes; Stochastic processes; Mathematics -- Probability & Statistics -- General; Probability & statistics; Mathematical statistics; Distribution (Probability theory; Electronic books