论文信息 - ITÔ CALCULUS

ITÔ CALCULUS

This entry for the Encyclopedia of Actuarial Sciences provides an introduction to the Itô Calculus that emphasizes the definition of the Itô integral and the description of Itô’s Formula, the most widely used result in the Itô Calculus.

J. Steele | J. MICHAEL STEELE

[1] J. Steele. Stochastic Calculus and Financial Applications , 2000 .

[2] P. Protter. Stochastic integration and differential equations : a new approach , 1990 .

[3] B. E. Sorenson. FINANCIAL CALCULUS: AN INTRODUCTION TO DERIVATIVE PRICING , 1998, Econometric Theory.