Title

Title
Bienvenue sur Biblio-Sciences, site communautaire principalement destiné aux étudiants, élèves et à toute autre personne désirant trouver des documents numériques dans un but académique, ludique ou autre. Explorez Biblio-Sciences où chaque livre est une aventure scientifique qui commence. La connaissance n'attend que vous !

Search

Rechercher des livres par catégories

togglesFiltrer

Stochastic integration and differential equations
























Stochastic integration and differential equations


Author(s):
Philip E. Protter



Collection:
Applications of mathematics 21 0172-4568


Publisher:
Springer


Year:
2004


Language:
English


Pages:
430 pages


Size:
3.16 MB


Extension:
DJVU





[tab]

[content title="Description"]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.
[/content]

[content title="Content"] [/content]

[content title="About the author"]Philip E. Protter is Ph.D. University of California, San Diego 1975[/content]

[/tab]




Download (djvu, 3.16 MB)






[facebook src="bibliosciencesorg"/]






Key-Words:
Télécharger Stochastic integration and differential equations EBOOK PDF EPUB DJVU. Download Stochastic integration and differential equations EBOOK PDF EPUB DJVU.


Page précédente Accueil Page suivante

Post Share Buttons

Les plus populaires Voir la suite

Popup

Sciences et Techniques

Sciences et TechniquesVoir la suite

Sciences Humaines et Sociales

Sciences Humaines et SocialesVoir la suite

ECONOMIE FINANCES ET ENTREPRISESVoir la suite

LITTERATURE ET LANGUESVoir la suite

ARTS CULTURE LOISIRS ET ACTUALITESVoir la suite

RELIGIONVoir la suite