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Stochastic Integration And Differential Equations - 2nd Ed Protter, Philip E. Springer

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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 Emeryâ¬(tm)s examples of martingales that actually have martingale representation (thus going beyond the sta

Detalhes do produto

Peso: 0,762 kg
Número de páginas: 436
Ano de edição: 2010
ISBN 10: 3642055605
ISBN 13: 9783642055607
Altura: 2
Largura: 16
Comprimento: 24
Idioma : Inglês
Tipo de produto : Livro
Assuntos : Estatística
Assuntos : Universitário Técnico

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