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Medvegyev, Péter,

Stochastic integration theory / Péter Medvegyev. - xix, 608 pages ; 24 cm. - Oxford graduate texts in mathematics ; 14 . - Oxford graduate texts in mathematics ; 14. .

Includes bibliographical references (pages 597-602) and index.

Stochastic processes -- Stochastic integration with locally square-integrable martingales -- The structure of local martingales -- General theory of stochastic integration -- Some other theorems -- Ito's formula -- Processes with independent increments -- Appendices -- A: Results from measure theory -- B: Wiener processes -- C: Poisson processes. 1. 2. 3. 4. 5. 6. 7.

ISBN: 0199215251 9780199215256

LCCN: 2007014192

Subjects--Topical Terms:
Stochastic integrals
Martingales (Mathematics)
Stochastic processes.

LC Class. No.: QA274.22 / .M43 2007

Dewey Class. No.: 519.22