Diffusions, Markov Processes and Martingales: Volume 2, Itô Calculus

Häftad, Engelska, 2000

AvL. C. G. Rogers,David Williams,L. C. G. (University of Bath) Rogers,David (University of Bath) Williams,D. Williams

1 199 kr

Beställningsvara. Skickas inom 7-10 vardagar. Fri frakt för medlemmar vid köp för minst 249 kr.

This celebrated book has been prepared with readers' needs in mind, remaining a systematic treatment of the subject whilst retaining its vitality. The second volume follows on from the first, concentrating on stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes. Much effort has gone into making these subjects as accessible as possible by providing many concrete examples that illustrate techniques of calculation, and by treating all topics from the ground up, starting from simple cases. Many of the examples and proofs are new; some important calculational techniques appeared for the first time in this book. Together with its companion volume, this book helps equip graduate students for research into a subject of great intrinsic interest and wide application in physics, biology, engineering, finance and computer science.

Produktinformation

Utgivningsdatum2000-09-07
Mått152 x 226 x 23 mm
Vikt660 g
FormatHäftad
SpråkEngelska
SerieCambridge Mathematical Library
Antal sidor496
Upplaga2
FörlagCambridge University Press
ISBN9780521775939

Tillhör följande kategorier

Medicin: allmänt inom Medicin
Talteori inom Naturvetenskap och teknik
Tillämpad matematik inom Naturvetenskap och teknik

Some frequently used notation; 4. Introduction to Ito calculus; 4.1. Some motivating remarks; 4.2. Some fundamental ideas: previsible processes, localization, etc.; 4.3. The elementary theory of finite-variation processes; 4.4. Stochastic integrals: the L2 theory; 4.5. Stochastic integrals with respect to continuous semimartingales; 4.6. Applications of Ito's formula; 5. Stochastic differential equations and diffusions; 5.1. Introduction; 5.2. Pathwise uniqueness, strong SDEs, flows; 5.3. Weak solutions, uniqueness in law; 5.4. Martingale problems, Markov property; 5.5. Overture to stochastic differential geometry; 5.6. One-dimensional SDEs; 5.7. One-dimensional diffusions; 6. The general theory; 6.1. Orientation; 6.2. Debut and section theorems; 6.3. Optional projections and filtering; 6.4. Characterising previsible times; 6.5. Dual previsible projections; 6.6. The Meyer decomposition theorem; 6.7. Stochastic integration: the general case; 6.8. Ito excursion theory; References; Index.

Mer från samma författare

Del 13

Numerical Methods in Finance

L. C. G. Rogers, D. Talay, L. C. G. (University of Bath) Rogers, Rocquencourt) Talay, D. (Institut National de Recherche en Informatique et en Automatique (INRIA)

Häftad

829 kr

Del 13

Numerical Methods in Finance

L. C. G. Rogers, D. Talay, L. C. G. (University of Bath) Rogers, Rocquencourt) Talay, D. (Institut National de Recherche en Informatique et en Automatique (INRIA), L. C. Rogers

Inbunden

1 839 kr

Diffusions, Markov Processes, and Martingales: Volume 1, Foundations

L. C. G. Rogers, David Williams, L. C. G. (University of Bath) Rogers, Swansea) Williams, David (University of Wales, D. Williams

Häftad

1 179 kr

Paris-Princeton Lectures on Mathematical Finance 2002

Peter Bank, Fabrice Baudoin, Hans Föllmer, L. C. G. Rogers, Halil Mete Soner, Nizar Touzi, René Carmona, Erhan Çınlar, Ivar Ekeland, Elyès Jouini, Jose A. Scheinkman, Nizar Touzi, Erhan Carmona, René