TY  - BOOK
AU  - Protter,Philip E.
TI  - Stochastic integration and differential equations
T2  - Applications of mathematics,
SN  - 3540003134
AV  - QA274.22 .P76 2004
U1  - 519.2 22
PY  - 2004///]
CY  - Berlin, New York
PB  - Springer
KW  - Martingales (Mathematics)
KW  - Stochastic differential equations
KW  - Stochastic integrals
N1  - 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
N2  - 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
ER  -