Philip E. Protter - Stochastic Integration and Differential Equations

Description

It has been 13 years since the first edition of Stochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts on the same subject have been published, often with connections to applications, especially mathematical finance. Yet in spite of the apparent simplicity of approach, none of these books has used the functional analytic method of presenting semimartingales and stochastic integration. Thus a 2nd edition seems worthwhile and timely, though we will no longer call it "a new approach."

The new edition has several significant changes, most prominently the addition of exercises for solution. These are intended to supplement the text, but lemmas needed in a proof are never relegated to the exercises! Many of the exercises have been tested by graduate students at Purdue and Cornell Universities. Chap. 3 has been nearly completely redone, with a new, more intuitive and simultaneously elementary proof of the fundamental Doob-Meyer decomposition theorem, the more general version of the Girsanov theorem due to Lenglart, the Kazamaki-Novikov criteria for exponential local martingales to be martingales, and a modern treatment of compensators. Chap. 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). New topics added include an introduction to the theory of the expansion of filtrations, and an elementary treatment of the Burkholder-Gundy-Fefferman martingale inequalities. Last, there are of course small changes throughout the book.

Thanks to original uploader!

Disclaimer:
Contents of this page are indexed from the Internet. All actions are under your responsability. Email us to report illegal contents or external links and we'll remove them immediately.

Please check the description for download links if any or do a search to find alternative books.

Can't Download?
Please search mirrors if you can't find download links for "Philip E. Protter - Stochastic Integration and Differential Equations" in "Description" and someone else may update the links. Check the comments when back to find any updates.

Search Mirrors
Maybe some mirror pages will be helpful, search this book at top of this page or click here to find more info.

1. Ebooks list page : 3280
2. [request_ebook] Stochastic Integration and Differential Equations
3. Numerical Solution of Stochastic Differential Equations (Stochastic Modelling and Applied Probability)
4. Stochastic Methods and their Applications to Communications: Stochastic Differential Equations Approach
5. Stochastic Differential Equations and Applications
6. Stochastic Differential Equations and Applications, 2 Vol. Set
7. Singular Stochastic Differential Equations
8. An Introduction to Stochastic Differential Equations
9. A Minicourse on Stochastic Partial Differential Equations
10. Concise Course on Stochastic Partial Differential Equations
11. Concise Course on Stochastic Partial Differential Equations
12. Forward-Backward Stochastic Differential Equations
13. Modeling with Itô Stochastic Differential Equations
14. Concise Course on Stochastic Partial Differential Equations
15. Stochastic Partial Differential Equations and Applications - VII
16. Stochastic Differential Equations: An Introduction with Applications