Peter Medvegyev

Stochastic Integration Theory

• Gebundenes Buch

Produktbeschreibung

This graduate level text covers the theory of stochastic integration, an important area of Mathematics with a wide range of applications, including financial mathematics and signal processing.

Produktdetails

• Verlag: Oxford University Press, USA
• Seitenzahl: 632
• Erscheinungstermin: 6. September 2007
• Englisch
• Abmessung: 263mm x 164mm x 40mm
• Gewicht: 1060g
• ISBN-13: 9780199215256
• ISBN-10: 0199215251
• Artikelnr.: 22922478

Inhaltsangabe

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