Martingales and Stochastic Analysis

Martingales and Stochastic Analysis
1 959,- 1 959,-
Format E-Bok
Filformat PDF
Utgivelsesår 1995
Forlag World Scientific Publishing Co
Språk Engelsk
ISBN 9789812779304
Sider 516
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Om Martingales and Stochastic Analysis

This book is a thorough and self-contained treatise of martingales as a tool in stochastic analysis, stochastic integrals and stochastic differential equations. The book is clearly written and details of proofs are worked out.Contents:Stochastic Processes: Generated σ-AlgebrasStochastic ProcessesStopping TimesConvergence in Lp and Uniform IntegrabilityMartingales:Martingale, Submartingale and SupermartingaleFundamental Submartingale InequalitiesConvergence of SubmartingalesUniformly Integrable SubmartingalesRegularity of Sample Functions of SubmartingalesIncreasing ProcessesStochastic Integrals:L2-Martingales and Quadratic Variation ProcessesStochastic Integrals with Respect to MartingalesAdapted Brownian MotionsExtensions of the Stochastic IntegralItô's FormulaItô's Stochastic CalculusStochastic Differential Equations:The Space of Continuous FunctionsDefinition and Function Space Representation of SolutionExistence and Uniqueness of SolutionsStrong SolutionsReadership: Mathematicians.Key Features:Identifies ten key lessons for successful reform by bringing together studies of different sectors across various countriesProvides fresh insights into managing complex issues in services reform, above and beyond quantifying the benefits of reform


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