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Stochastic calculus and applications

Author: Samuel N Cohen; Robert J Elliott
Publisher: New York, NY : Birkhäuser, 2015.
Series: Probability and its applications
Edition/Format:   eBook : Document : English : 2nd edView all editions and formats
Database:WorldCat
Summary:
Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance. Building upon the original release of this title, this text will be of  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Printed edition:
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Samuel N Cohen; Robert J Elliott
ISBN: 9781493928675 1493928678 149392866X 9781493928668
OCLC Number: 932166571
Description: 1 online resource (xxiii, 666 pages) : illustrations.
Contents: Part I: Measure Theoretic Probability --
Measure Integral --
Probabilities and Expectation --
Part II: Stochastic Processes --
Filtrations, Stopping Times and Stochastic Processes --
Martingales in Discrete Time --
Martingales in Continuous Time --
The Classification of Stopping Times --
The Progressive, Optional and Predicable -Algebras --
Part III: Stochastic Integration --
Processes of Finite Variation --
The Doob-Meyer Decomposition --
The Structure of Square Integrable Martingales --
Quadratic Variation and Semimartingales --
The Stochastic Integral --
Random Measures --
Part IV: Stochastic Differential Equations --
Ito's Differential Rule --
The Exponential Formula and Girsanov's Theorem --
Lipschitz Stochastic Differential Equations --
Markov Properties of SDEs --
Weak Solutions of SDEs --
Backward Stochastic Differential Equations --
Part V: Applications --
Control of a Single Jump --
Optimal Control of Drifts and Jump Rates --
Filtering. Part VI: Appendices.
Series Title: Probability and its applications
Responsibility: Samuel N. Cohen, Robert J. Elliott.
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"This is a fundamental book in modern stochastic calculus and its applications: rich contents, well structured material, comprehensive coverage of all significant results given with complete proofs Read more...

 
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