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Stochastic integration theory [electronic resource] / Péter Medvegyev.

Author/Creator:
Medvegyev, Péter.
Publication:
Oxford ; New York : Oxford University Press, 2007.
Format/Description:
Book
1 online resource (629 p.)
Series:
Oxford graduate texts in mathematics ; 14.
Oxford graduate texts in mathematics ; 14
Status/Location:
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Details

Subjects:
Stochastic integrals.
Martingales (Mathematics).
Stochastic processes.
Form/Genre:
Electronic books.
Language:
English
Summary:
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. - ;This graduate level text covers the theory of stochastic integration, an important area of Mathematics that has a wide range of applications, including financial mathematics and signal processing. Aimed at graduate students in Mathematics, Statistics, Probability, Mathematical Finance, and Economics, the book not only covers the theory of the stochastic integral in great depth but also presents the as
Contents:
Contents; Preface; 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 Itô's Formula; 7 Processes with Independent Increments; Appendix; Notes and Comments; References; Index
Notes:
Description based upon print version of record.
Includes bibliographical references (p. 597-602) and index.
ISBN:
1-281-14938-1
9786611149383
0-19-152688-6
1-4356-0693-0
OCLC:
476245031