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Stochastic integration and differential equations / Philip E. Protter.

By: Material type: TextTextSeries: Applications of mathematics ; 21.Publisher: Berlin ; New York : Springer, [2004]Copyright date: ©2004Edition: Second editionDescription: xiii, 415 pages ; 25 cmContent type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISBN:
  • 3540003134
  • 9783540003137
Subject(s): DDC classification:
  • 519.2 22
LOC classification:
  • QA274.22 .P76 2004
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.
Summary: This 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. 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 H^1 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/~protter/books.html.
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Holdings
Item type Current library Call number Copy number Status Date due Barcode
Book City Campus City Campus Main Collection 519.2 PRO (Browse shelf(Opens below)) 1 Available A416184B

Includes bibliographical references (pages 389-401) and index.

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.

This 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. 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 H^1 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/~protter/books.html.

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