The Resource Stochastic integration and differential equations, Philip E. Protter
Stochastic integration and differential equations, Philip E. Protter
Resource Information
The item Stochastic integration and differential equations, Philip E. Protter represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item Stochastic integration and differential equations, Philip E. Protter represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.
This item is available to borrow from 1 library branch.
 Summary
 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 DoobMeyer decomposition theorem, the more general version of the Girsanov theorem due to Lenglart, the KazamakiNovikov 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 JacodYor theory and EmeryÃ{u00A2}Â»(tm)s examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process). New topics added include an introduction to the theory of the expansion of filtrations, a treatment of the Fefferman martingale inequality, and that the dual space of the martingale space H1̂ can be identified with BMO martingales. Solutions to selected exercises are available at the web site of the author, with current URL http://www.orie.cornell.edu/p̃rotter/books.html
 Language
 eng
 Edition
 Second edition, version 2.1.
 Extent
 1 online resource (xiii, 415 pages).
 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
 References
 Isbn
 9783662100615
 Label
 Stochastic integration and differential equations
 Title
 Stochastic integration and differential equations
 Statement of responsibility
 Philip E. Protter
 Language
 eng
 Summary
 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 DoobMeyer decomposition theorem, the more general version of the Girsanov theorem due to Lenglart, the KazamakiNovikov 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 JacodYor theory and EmeryÃ{u00A2}Â»(tm)s examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process). New topics added include an introduction to the theory of the expansion of filtrations, a treatment of the Fefferman martingale inequality, and that the dual space of the martingale space H1̂ can be identified with BMO martingales. Solutions to selected exercises are available at the web site of the author, with current URL http://www.orie.cornell.edu/p̃rotter/books.html
 Cataloging source
 GW5XE
 http://library.link/vocab/creatorName
 Protter, Philip E
 Dewey number
 519.2/2
 Index
 index present
 LC call number
 QA274.22
 LC item number
 .P76 2005eb
 Literary form
 non fiction
 Nature of contents

 dictionaries
 bibliography
 Series statement
 Stochastic Modelling and Applied Probability,
 Series volume
 21
 http://library.link/vocab/subjectName

 Stochastic integrals
 Martingales (Mathematics)
 Stochastic differential equations
 Martingales (Mathematics)
 Stochastic differential equations
 Stochastic integrals
 Label
 Stochastic integration and differential equations, Philip E. Protter
 Antecedent source
 unknown
 Bibliography note
 Includes bibliographical references and index
 Carrier category
 online resource
 Carrier category code

 cr
 Carrier MARC source
 rdacarrier
 Color
 multicolored
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 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  References
 Control code
 1107796531
 Dimensions
 unknown
 Edition
 Second edition, version 2.1.
 Extent
 1 online resource (xiii, 415 pages).
 File format
 unknown
 Form of item
 online
 Isbn
 9783662100615
 Level of compression
 unknown
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other control number
 10.1007/9783662100615
 Quality assurance targets
 not applicable
 Reformatting quality
 unknown
 Sound
 unknown sound
 Specific material designation
 remote
 System control number
 (OCoLC)1107796531
 Label
 Stochastic integration and differential equations, Philip E. Protter
 Antecedent source
 unknown
 Bibliography note
 Includes bibliographical references and index
 Carrier category
 online resource
 Carrier category code

 cr
 Carrier MARC source
 rdacarrier
 Color
 multicolored
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 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  References
 Control code
 1107796531
 Dimensions
 unknown
 Edition
 Second edition, version 2.1.
 Extent
 1 online resource (xiii, 415 pages).
 File format
 unknown
 Form of item
 online
 Isbn
 9783662100615
 Level of compression
 unknown
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other control number
 10.1007/9783662100615
 Quality assurance targets
 not applicable
 Reformatting quality
 unknown
 Sound
 unknown sound
 Specific material designation
 remote
 System control number
 (OCoLC)1107796531
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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.library.missouri.edu/portal/Stochasticintegrationanddifferential/WUt1HgHvLiU/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.missouri.edu/portal/Stochasticintegrationanddifferential/WUt1HgHvLiU/">Stochastic integration and differential equations, Philip E. Protter</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.missouri.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.missouri.edu/">University of Missouri Libraries</a></span></span></span></span></div>