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Stochastic Integration and Differential Equations Philip Protter 2nd Corrected ed. 2005. Corr. 2nd printing 2005 edition
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Stochastic Integration and Differential Equations
Philip Protter
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
| Médium | Knihy Book |
| Vydané | 07. októbra 2003 |
| ISBN13 | 9783540003137 |
| Vydavatelia | Springer-Verlag Berlin and Heidelberg Gm |
| Strany | 415 |
| Rozmery | 148 × 228 × 23 mm · 748 g |
| Jazyk | Angličtina Nemčina |
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