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Oxford Graduate Texts in Mathematics #14: Stochastic Integration Theory

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Oxford Graduate Texts in Mathematics #14: Stochastic Integration Theory Cover

 

Synopses & Reviews

Publisher Comments:

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

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

Product Details

ISBN:
9780199215256
Author:
Medvegyev, Peter
Publisher:
Oxford University Press, USA
Author:
null, Peter
Author:
Peter Medv
Author:
egyev
Subject:
Statistics
Subject:
Mathematics | Applied Mathematics
Subject:
Stochastic processes
Subject:
Martingales (mathematics)
Subject:
Probability & Statistics - General
Subject:
Mathematics | Probability and Statistics
Series:
Oxford Graduate Texts in Mathematics
Series Volume:
14
Publication Date:
20070931
Binding:
HARDCOVER
Grade Level:
Professional and scholarly
Language:
English
Illustrations:
Y
Pages:
544
Dimensions:
6.2 x 9.3 x 1.5 in 2.294 lb

Related Subjects

Humanities » Philosophy » General
Religion » Eastern Religions » Philosophy General
Science and Mathematics » Chemistry » Organic
Science and Mathematics » Mathematics » Applied
Science and Mathematics » Mathematics » Probability and Statistics » General
Science and Mathematics » Mathematics » Probability and Statistics » Statistics

Oxford Graduate Texts in Mathematics #14: Stochastic Integration Theory New Hardcover
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Product details 544 pages Oxford University Press, USA - English 9780199215256 Reviews:
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