Stochastic Integration Theory
Author:   Peter Medvegyev (Budapest University of Economic Sciences)
Publisher:   Oxford University Press
Volume:   14
ISBN:  

9780199215256


Pages:   632
Publication Date:   26 July 2007
Format:   Hardback
Availability:   To order   Availability explained
Stock availability from the supplier is unknown. We will order it for you and ship this item to you once it is received by us.

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Stochastic Integration Theory


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Overview

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).

Full Product Details

Author:   Peter Medvegyev (Budapest University of Economic Sciences)
Publisher:   Oxford University Press
Imprint:   Oxford University Press
Volume:   14
Dimensions:   Width: 16.30cm , Height: 3.80cm , Length: 24.00cm
Weight:   1.062kg
ISBN:  

9780199215256


ISBN 10:   0199215251
Pages:   632
Publication Date:   26 July 2007
Audience:   College/higher education ,  Postgraduate, Research & Scholarly
Format:   Hardback
Publisher's Status:   Active
Availability:   To order   Availability explained
Stock availability from the supplier is unknown. We will order it for you and ship this item to you once it is received by us.

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

Reviews

<br> This monograph gives a comprehensive exposition of stochastic calculus and can be used as a textbook for graduate students with a good knowledge of measure-theoretic probability and mathematical analysis...Although the material presented in this book can be found in other monographs on the subject, it can of interest for a wide readership, mainly due to the plenty of clarifying examples and the very detailed proofs of the results. --Mathematical Reviews<br>


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