Diffusions, Markov Processes and Martingales

Diffusions, Markov Processes and Martingales
-18 %
Volume 2, Ito Calculus
 Paperback
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ISBN-13:
9780521775939
Einband:
Paperback
Erscheinungsdatum:
18.06.2014
Seiten:
496
Autor:
L. C. G. Rogers
Gewicht:
711 g
Format:
229x152x26 mm
Sprache:
Englisch

Inhaltsverzeichnis
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.
Beschreibung
Now available in paperback for the first time; essential reading for all students of probability theory.

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