Stochastic Integration Theory

Peter Medvegyev (Autor)

Buch | Hardcover

632 Seiten

2007
Oxford University Press (Verlag)
978-0-19-921525-6 (ISBN)

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

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

Reihe/Serie	Oxford Graduate Texts in Mathematics ; 14
Verlagsort	Oxford
Sprache	englisch
Maße	163 x 240 mm
Gewicht	1062 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Wirtschaft ► Volkswirtschaftslehre
ISBN-10	0-19-921525-1 / 0199215251
ISBN-13	978-0-19-921525-6 / 9780199215256
Zustand	Neuware