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| 011 | _aBIB MATCHES WORLDCAT | ||
| 020 | _a3540003134 | ||
| 020 | _a9783540003137 | ||
| 035 | _a(ATU)b11026145 | ||
| 035 | _a(OCoLC)52943083 | ||
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_aDLC _beng _erda _cDLC _dOHX _dC#P _dUKM _dBAKER _dNLGGC _dBTCTA _dYDXCP _dHEBIS _dDEBBG _dOCL _dATU |
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_aQA274.22 _b.P76 2004 |
| 082 | 0 | 0 |
_a519.2 _222 |
| 100 | 1 |
_aProtter, Philip E., _eauthor. _91054527 |
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| 245 | 1 | 0 |
_aStochastic integration and differential equations / _cPhilip E. Protter. |
| 250 | _aSecond edition. | ||
| 264 | 1 |
_aBerlin ; _aNew York : _bSpringer, _c[2004] |
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| 264 | 4 | _c©2004 | |
| 300 |
_axiii, 415 pages ; _c25 cm. |
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| 336 |
_atext _btxt _2rdacontent |
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| 337 |
_aunmediated _bn _2rdamedia |
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| 338 |
_avolume _bnc _2rdacarrier |
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| 490 | 1 |
_aApplications of mathematics, _x0172-4568 ; _v21 |
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| 504 | _aIncludes bibliographical references (pages 389-401) and index. | ||
| 505 | 0 | 0 |
_gI. _tPreliminaries -- _gII. _tSemimartingales and Stochastic Integrals -- _gIII. _tSemimartingales and Decomposable Processes -- _gIV. _tGeneral Stochastic Integration and Local Times -- _gV. _tStochastic Differential Equations -- _gVI. _tExpansion of Filtrations. |
| 520 | _aThis 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. | ||
| 588 | _aMachine converted from AACR2 source record. | ||
| 650 | 0 |
_aMartingales (Mathematics) _9329599 |
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| 650 | 0 |
_aStochastic differential equations _9329600 |
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| 650 | 0 |
_aStochastic integrals _9329598 |
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| 830 | 0 |
_aApplications of mathematics ; _v21. _91054528 |
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_a.b11026145 _b27-07-21 _c27-10-15 |
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