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Więcej informacji o Stochastic Integration and Differential Equations

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Opis

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).

Szczegóły książki

Kategoria Książki po angielsku Mathematics & science Mathematics Calculus & mathematical analysis

• Pełny tytuł: Stochastic Integration and Differential Equations
• Autor: Philip E. Protter
• Język: Angielski
• Oprawa: Twarda
• Liczba stron: 415
• EAN: 9783540003137
• ISBN: 3540003134
• ID: 01556064
• Wydawca: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
• Waga: 786 g
• Wymiary: 228 × 148 × 29 mm
• Data wydania: 07. October 2003

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