Coverart for item
The Resource Stochastic integration and differential equations, Philip E. Protter

Stochastic integration and differential equations, Philip E. Protter

Label
Stochastic integration and differential equations
Title
Stochastic integration and differential equations
Statement of responsibility
Philip E. Protter
Creator
Author
Subject
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 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 treatment of compensators. 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 EmeryÃ{u00A2}»(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
Member of
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
Instantiates
Publication
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
10.1007/978-3-662-10061-5
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
Publication
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
10.1007/978-3-662-10061-5
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)1107796531

Library Locations

    • Ellis LibraryBorrow it
      1020 Lowry Street, Columbia, MO, 65201, US
      38.944491 -92.326012
Processing Feedback ...