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Series : Oxford Graduate Texts in Mathematics

Stochastic Integration Theory

Stochastic Integration Theory
Author
Medvegyev, Peter 
Publisher
Oxford Univ Pr on Demand 
Publication Date
Sep, 2007 
ISBN
0199215251 or 9780199215256
HARDCOVER 
608 Pages
出版済み 3-5週間でお届けいたします。
The delivery time takes 3 to 5 weeks

¥ 10,425 (tax included)

Description

Applications to many fields of mathematical modelling
Clear, logical exposition
Numerous examples, detailed proofs, and cross-referencing aid understanding

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 associated theory (martingales, Levy processes) and important examples (Brownian motion, Poisson process).

Contents

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

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