Stochastic Integration and Differential Equations - Philip Protter - Bøger - Springer-Verlag Berlin and Heidelberg Gm - 9783540003137 - 7. oktober 2003
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Stochastic Integration and Differential Equations 2nd Corrected ed. 2005. Corr. 2nd printing 2005 edition

Philip Protter

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Stochastic Integration and Differential Equations 2nd Corrected ed. 2005. Corr. 2nd printing 2005 edition

Chapter 4 treats sigma martingales (important in finance theory) and gives a more comprehensive treatment of martingale representation, including both the Jacod-Yor theory and Emery's examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process).

415 pages, biography

Medie Bøger     Bog
Udgivet 7. oktober 2003
ISBN13 9783540003137
Forlag Springer-Verlag Berlin and Heidelberg Gm
Antal sider 415
Mål 148 × 228 × 23 mm   ·   748 g
Sprog Engelsk   Tysk  
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