Stochastic Integration and Differential Equations

Name: Stochastic Integration and Differential Equations
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 9783540003137
Price: 45888 HUF
Availability: InStock

Szerző: Philip E. Protter

Nyelv:

Kötés: Kemény kötésű

Kiadó: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Elérhetőség: Beszállítói készleten

Küldés 10-13 napon belül

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It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A...

Információk a könyvről

Szerző

Philip E. Protter

Nyelv

Angol

Kötés

Könyv - Kemény kötésű

Kiadva

2003

oldal

415

EAN

9783540003137

ISBN

3540003134

Enbook ID

01556064

Kiadó

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Súly

786

Méretek

148 x 228 x 29

Teljes leírás

It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts on the same subject have been published, often with connections to applications, especially mathematical finance. Yet in spite of the apparent simplicity of approach, none of these books has used the functional analytic method of presenting semimartingales and stochastic integration. Thus a 2nd edition seems worthwhile and timely, though it is no longer appropriate to call it "a new approach". §§The new edition has several significant changes, most prominently the addition of exercises for solution. These are intended to supplement the text, but lemmas needed in a proof are never relegated to the exercises. Many of the exercises have been tested by graduate students at Purdue and Cornell Universities. Chapter 3 has been completely redone, with a new, more intuitive and simultaneously elementary proof of the fundamental Doob-Meyer decomposition theorem, the more general version of the Girsanov theorem due to Lenglart, the Kazamaki-Novikov criteria for exponential local martingales to be martingales, and a modern treatment of compensators. Chapter 4 treats sigma martingales (important in finance theory) and gives a more comprehensive treatment of martingale representation, including both the Jacod-Yor theory and Emery s examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process).

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Stochastic Integration and Differential Equations

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