Stochastic integration and differential equations a new approach. Applications of mathematics 21; Applications of Mathematics 21.

Protter, Philip E.:

ISBN 10: 3540509968 / ISBN 13: 9783540509967

Editore: Berlin, 0 [1990]., 1990

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Ex-library with stamp and library-signature. GOOD condition, some traces of use. Ancien Exemplaire de bibliothèque avec signature et cachet. BON état, quelques traces d'usure. Ehem. Bibliotheksexemplar mit Signatur und Stempel. GUTER Zustand, ein paar Gebrauchsspuren. 60 PRO 9783540509967 Sprache: Englisch Gewicht in Gramm: 1150.

Codice articolo 2509426

Dati bibliografici

• Titolo: Stochastic integration and differential equations a new approach. Applications of mathematics 21; Applications of Mathematics 21.
• Editore: Berlin, 0 [1990].
• Data di pubblicazione: 1990
• Lingua: Inglese
• ISBN 10: 3540509968
• ISBN 13: 9783540509967
• Rilegatura: Hardcover
• Peso: 1150 grammi
• Cataloghi dei venditori:
  • SA MATHEMATIK

Descrizione articolo

Riassunto

This book is quite different from others on the subject in that it presents a rapid introduction to the modern semimartingale theory of stochastic integration and differential equations, without first having to treat the beautiful but highly technical "general theory of processes". The author's new approach (based on the theorem of Bitcheler-Dellacherie) also give a more intuitive understanding of the subject, and permits proofs to be much less technical. All of the major theorems of stochastic integration are given, including a comprehensive treatment (first time in English) of local times. A theory of stochastic differential equations driven by semimartingales is developed, including Fisk-Stratonovich equations, Markov properties, stability, and an introduction to the theory of flows. Further topics presented for the 1st time in book form include an elementary presentation of Azema's martingale. This book will quickly become a standard reference on the subject, to be used by specialists and non-specialists alike, both for the sake of the theory and for its application.

Product Description

Book by Protter Philip