Protter, Philip E., <br/><br/>
Stochastic integration and differential equations / 
Philip E. Protter. 
 - Second edition. 
 - xiii, 415 pages ;  25 cm. 
 - Applications of mathematics,  21  0172-4568 ; .
 - Applications of mathematics ;  21. .
<br/><br/>Includes bibliographical references (pages 389-401) and index. 
<br/><br/> Preliminaries --  Semimartingales and Stochastic Integrals --  Semimartingales and Decomposable Processes --  General Stochastic Integration and Local Times --  Stochastic Differential Equations --  Expansion of Filtrations.  I.  II.  III.  IV.  V.  VI. 
<br/><br/> 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. 
<br/><br/><label>ISBN: </label>3540003134 9783540003137 
<br/><br/><label>LCCN: </label>2003059169 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Martingales (Mathematics)<br/>Stochastic differential equations<br/>Stochastic integrals
<br/><br/><label>LC Class. No.: </label>QA274.22  / .P76 2004 
<br/><br/><label>Dewey Class. No.: </label>519.2