Stochastic Integration and Differential Equations Tapa dura - 2003
de Philip Protter
Descripción de contraportada
It has been 15 years since the first edition ofStochastic 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�¬(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.
Detalles
- Título Stochastic Integration and Differential Equations
- Autor Philip Protter
- Encuadernación Tapa dura
- Edición 2nd
- Páginas 415
- Volúmenes 1
- Idioma ENG
- Editorial Springer, China
- Fecha de publicación 2003-10-07
- Ilustrado Sí
- Features Bibliography, Illustrated, Index
- ISBN 9783540003137 / 3540003134
- Peso 1.65 libras (0.75 kg)
- Dimensiones 9.48 x 6.68 x 1.12 pulgadas (24.08 x 16.97 x 2.84 cm)
- Número de catálogo de la Librería del Congreso de EEUU 2003059169
- Dewey Decimal Code 515.353
Más ejemplares
Stochastic Integration and Differential Equations
de Philip E. Protter
- Usado
- good
- Estado
- Usado - Good
- ISBN 10 / ISBN 13
- 9783540003137 / 3540003134
- Cantidad disponible
- 1
- Librería
-
Blacksburg, Virginia, United States
- Precio
-
EUR 54.60EUR 4.01 enviando a USA
Mostrar detalles
Stochastic Integration and Differential Equations
de Philip E. Protter
- Nuevo
- Tapa dura
- Estado
- New
- Encuadernación
- Hardcover
- ISBN 10 / ISBN 13
- 9783540003137 / 3540003134
- Cantidad disponible
- 137
- Librería
-
Uxbridge, Greater London, United Kingdom
- Precio
-
EUR 133.29EUR 9.46 enviando a USA
Mostrar detalles
Stochastic Integration and Differential Equations
de Philip E. Protter
- Nuevo
- Tapa dura
- Estado
- New
- Encuadernación
- Hardcover
- ISBN 10 / ISBN 13
- 9783540003137 / 3540003134
- Cantidad disponible
- 1
- Librería
-
San Diego, California, United States
- Precio
-
EUR 114.64EUR 5.15 enviando a USA
Mostrar detalles
Stochastic Integration and Differential Equations
de Philip Protter
- Nuevo
- Tapa dura
- Estado
- New
- Encuadernación
- Hardcover
- ISBN 10 / ISBN 13
- 9783540003137 / 3540003134
- Cantidad disponible
- 10
- Librería
-
Southport, Merseyside, United Kingdom
- Precio
-
EUR 150.03EUR 11.79 enviando a USA
Mostrar detalles
Stochastic Integration and Differential Equations
de Philip E. Protter
- Nuevo
- Tapa dura
- Estado
- New
- Encuadernación
- Hardcover
- ISBN 10 / ISBN 13
- 9783540003137 / 3540003134
- Cantidad disponible
- 5
- Librería
-
campbelltown, Florida, United States
- Precio
-
EUR 172.86EUR 14.17 enviando a USA