Stochastic integration theory /

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This graduate level text covers the theory of stochastic integration, an important area of Mathematics with a wide range of applications, including financial mathematics and signal processing. - ;This graduate level text covers the theory of stochastic integration, an important area of Mathematics t...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Medvegyev, Péter
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Oxford ; New York : Oxford University Press, 2007.
Colección:Oxford graduate texts in mathematics ; 14.
Temas:
Stochastic integrals.
Martingales (Mathematics)
Stochastic processes.
Stochastic Processes
Intégrales stochastiques.
Martingales (Mathématiques)
Processus stochastiques.
MATHEMATICS > Probability & Statistics > General.
Stochastic integrals
Stochastic processes
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Stochastic processes
  • Stochastic integration with locally square-integrable martingales
  • The structure of local martingales
  • General theory of stochastic integration
  • Some other theorems
  • Ito?'s formula
  • Processes with independent increments
  • Results from measure theory
  • Wiener processes
  • Poisson processes.

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