Stochastic Integration and Differential Equations
By:Philip Protter
Published on 2013-12-21 by Springer
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.
This Book was ranked at 30 by Google Books for keyword markets and efficiency.
Book ID of Stochastic Integration and Differential Equations's Books is 2a37CAAAQBAJ, Book which was written byPhilip Protterhave ETAG "yLCGBQZ/VyQ"
Book which was published by Springer since 2013-12-21 have ISBNs, ISBN 13 Code is 9783662100615 and ISBN 10 Code is 3662100614
Reading Mode in Text Status is false and Reading Mode in Image Status is true
Book which have "415 Pages" is Printed at BOOK under CategoryMathematics
This Book was rated by Raters and have average rate at ""
This eBook Maturity (Adult Book) status is NOT_MATURE
Book was written in en
eBook Version Availability Status at PDF is true and in ePub is false
Book Preview
Tidak ada komentar:
Posting Komentar