书目名称 | Introduction to Stochastic Integration |
编辑 | K. L. Chung,R. J. Williams |
视频video | http://file.papertrans.cn/475/474227/474227.mp4 |
丛书名称 | Progress in Probability |
图书封面 |  |
描述 | The contents of this monograph approximate the lectures I gave In a graduate course at Stanford University in the first half of 1981. But the material has been thoroughly reorganized and rewritten. The purpose is to present a modern version of the theory of stochastic in tegration, comprising but going beyond the classical theory, yet stopping short of the latest discontinuous (and to some distracting) ramifications. Roundly speaking, integration with respect to a local martingale with continuous paths is the primary object of study here. We have decided to include some results requiring only right continuity of paths, in order to illustrate the general methodology. But it is possible for the reader to skip these extensions without feeling lost in a wilderness of generalities. Basic probability theory inclusive of martingales is reviewed in Chapter 1. A suitably prepared reader should begin with Chapter 2 and consult Chapter 1 only when needed. Occasionally theorems are stated without proof but the treatmcnt is aimed at self-containment modulo the in evitable prerequisites. With considerable regret I have decided to omit a discussion of stochastic differential equations. Instead, |
出版日期 | Book 19831st edition |
关键词 | Martingal; Martingale; Peak; local martingale; local time; probability; probability theory; stochastic calc |
版次 | 1 |
doi | https://doi.org/10.1007/978-1-4757-9174-7 |
isbn_ebook | 978-1-4757-9174-7Series ISSN 1050-6977 Series E-ISSN 2297-0428 |
issn_series | 1050-6977 |
copyright | Springer Science+Business Media New York 1983 |