11. Stochastic Calculus

  1. Liliana Blanco Castañeda1,
  2. Viswanathan Arunachalam2 and
  3. Selvamuthu Dharmaraja3

Published Online: 11 JUL 2012

DOI: 10.1002/9781118344972.ch11

Introduction to Probability and Stochastic Processes with Applications

Introduction to Probability and Stochastic Processes with Applications

How to Cite

Castañeda, L. B., Arunachalam, V. and Dharmaraja, S. (2012) Stochastic Calculus, in Introduction to Probability and Stochastic Processes with Applications, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118344972.ch11

Author Information

  1. 1

    National University of Colombia, Bogotá, Colombia

  2. 2

    Universidad de los Andes, Bogotá, Colombia

  3. 3

    Indian Institute of Technology Delhi, New Delhi, India

Publication History

  1. Published Online: 11 JUL 2012
  2. Published Print: 11 JUN 2012

ISBN Information

Print ISBN: 9781118294406

Online ISBN: 9781118344972

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Keywords:

  • stochastic calculus;
  • martingales theory;
  • Brownian motion;
  • discrete-time martingale;
  • random variables

Summary

This chapter contains sections titled:

  • Martingales

  • Brownian Motion

  • Itô Calculus