| 书目名称 | Stochastic Integration and Differential Equations | | 编辑 | Philip E. Protter | | 视频video | | | 概述 | Exercises for solution added.Includes supplementary material: | | 丛书名称 | Stochastic Modelling and Applied Probability | | 图书封面 |  | | 描述 | .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 tre | | 出版日期 | Book 2005Latest edition | | 关键词 | Brownian motion; Girsanov theorem; Martingale; Poisson process; Semimartingale; filtration; local martinga | | 版次 | 2 | | doi | https://doi.org/10.1007/978-3-662-10061-5 | | isbn_softcover | 978-3-642-05560-7 | | isbn_ebook | 978-3-662-10061-5Series ISSN 0172-4568 Series E-ISSN 2197-439X | | issn_series | 0172-4568 | | copyright | Springer-Verlag Berlin Heidelberg 2005 |
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发表于 2025-3-21 18:31:28
