Name: stochastic integration and differential equations: version 2.1 (en Inglés)
Price: 114.83 USD
Availability: InStock
Author: Protter, Philip
ISBN: 9783642055607

portada stochastic integration and differential equations: version 2.1 (en Inglés)

stochastic integration and differential equations: version 2.1 (en Inglés)

Formato

Libro Físico

Autor

Philip Protter

Editorial

Springer

Año

2010

Idioma

Inglés

N° páginas

415

Encuadernación

Tapa Blanda

Dimensiones

23.4 x 15.6 x 2.3 cm

Peso

0.61 kg.

ISBN

3642055605

ISBN13

9783642055607

N° edición

0002

Categorías

Cálculo diferencial y ecuaciones
Probabilidad y estadística
Matemáticas aplicadas

stochastic integration and differential equations: version 2.1 (en Inglés)

Philip Protter (Autor) · Springer · Tapa Blanda

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Reseña del libro "stochastic integration and differential equations: version 2.1 (en Inglés)"

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). New topics added include an introduction to the theory of the expansion of filtrations, a treatment of the Fefferman martingale inequality, and that the dual space of the martingale space H 1 can be identified with BMO martingales. Solutions to selected exercises are available at the web site of the author, with current URL http: //www.orie.cornell.edu/ protter/books.html.