Stochastic Integration Theory - Medvegyev, Peter; - Prospero Internet Bookshop
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Stochastic Integration Theory
 
Product details:
ISBN13:9780199215256
ISBN10:0199215251
Binding:Hardback
No. of pages:632 pages
Size:240x163x38 mm
Weight:1062 g
Language:English
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Stochastic Integration Theory

 
Publisher: OUP Oxford
Date of Publication:
 
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Short description:

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.

Long description:
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).
Table of Contents:
Stochastic processes
Stochastic integration with locally square-integrable martingales
The structure of local martingales
General theory of stochastic integration
Some other theorems
Ito's formula
Processes with independent increments
Appendices
Results from measure theory
Wiener processes
Poisson processes