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Stochastic Integration and Differential Equations - Stochastic Modelling and Applied Probability Philip Protter Second Edition 2005 edition
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Stochastic Integration and Differential Equations - Stochastic Modelling and Applied Probability
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).
434 pages, biography
| Médium | Knihy Paperback Book (Kniha s mäkkou väzbou a lepeným chrbtom) |
| Vydané | 01. decembra 2010 |
| ISBN13 | 9783642055607 |
| Vydavatelia | Springer-Verlag Berlin and Heidelberg Gm |
| Strany | 415 |
| Rozmery | 157 × 235 × 23 mm · 656 g |
| Jazyk | Francúzština |
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