Stochastic Integration and Differential Equations
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 appare...
Gardado en:
| Autor Principal: | |
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| Formato: | Livre numérique |
| Idioma: | Anglais |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Edición: | 2nd ed. 2005. |
| Series: | Stochastic Modelling and Applied Probability
21 |
| Acceso en liña: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
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| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Stochastic integration and differential equations, Philip E. Protter, 2nd edition, version 2.1, corrected 3rd printing, 2005, Berlin, Springer, 1 vol. (XIII-419 p.), Stochastic modelling and applied probability, 978-3-642-05560-7 • Stochastic integration and differential equations, Philip E. Protter, 2nd edition, version 2.1, corrected 3rd printing, 2005, Berlin, Springer, 1 vol. (XIII-419 p.), Stochastic modelling and applied probability, 978-3-642-05560-7 • Stochastic Integration and Differential Equations, Texte imprimé, 9783540003137 • Stochastic Integration and Differential Equations, Texte imprimé, 9783662100622 |
| Résumé: | 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 Emeryà  (tm)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. |
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| descrición da copia: | L'accès complet à la ressource est possible pour les usagers de tous les établissements publics français (situés ou non sur le territoire français) ayant des missions d'enseignement supérieur et/ou de recherche, des établissements d'enseignement supérieur privés, des bibliothèques publiques Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| ISBN: | 9783662100615 |
| ISSN: | 2197-439X |
| Acceso: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |