Author: Tomasz BojdeckiPublisher:
ISBN:
Category :
Languages : es
Pages :
Book Description
Teoria general de procesos e integracion estocastica
Author: Tomasz BojdeckiTeoría de procesos e integración estocástica
Author: Tomasz BojdeckiPublisher:
ISBN:
Category : Stochastic processes
Languages : es
Pages : 340
Book Description
Stochastic Integration and Differential Equations
Author: Philip ProtterPublisher: Springer
ISBN: 3662100614
Category : Mathematics
Languages : en
Pages : 430
Book 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.
II Simposio de Probabilidad y Procesos Estocásticos, I Encuentro México-Chile de Análisis Estocástico
Author: María Emilia CaballeroPublisher:
ISBN:
Category : Mathematics
Languages : en
Pages : 218
Book Description
III Simposio de Probabilidad y Procesos Estocasticos
Author: Modelos estocásticos
Author: José María González BarriosPublisher:
ISBN:
Category : Probabilities
Languages : en
Pages : 380
Book Description
Lectures on Quantum Probability
Author: A. M. ChebotarevPublisher:
ISBN:
Category : Quantum theory
Languages : en
Pages : 324
Book Description
IV Simposio de Probabilidad Y Procesos Estocásticos
Author: Luis G. GorostizaPublisher:
ISBN:
Category : Probabilities
Languages : en
Pages : 196
Book Description
Seminario Internacional de Algebra y sus Aplicaciones
Author: Anales
Author: Universidad Nacional Autónoma de México. Instituto de MatemáticasPublisher:
ISBN:
Category : Mathematics
Languages : en
Pages : 58
Book Description