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Stochastic integration and differential equations

Author: Philip E Protter
Publisher: Berlin ; New York : Springer, ©2004.
Series: Applications of mathematics, 21.
Edition/Format:   Print book : English : 2nd edView all editions and formats
Summary:

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  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Philip E Protter
ISBN: 3540003134 9783540003137
OCLC Number: 52943083
Description: xiii, 415 pages ; 25 cm.
Contents: I. Preliminaries --
II. Semimartingales and stochastic integrals --
III. Semimartingales and decomposable processes --
IV. General stochastic integration and local times --
V. Stochastic differential equations --
VI. Expansion of filtrations.
Series Title: Applications of mathematics, 21.
Responsibility: Philip E. Protter.
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From the reviews of the second edition: "A fast and nice introduction to semimartingales and stochastic integration ... . The second edition of the book has a number of changes and new topics ... . Read more...

 
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