Philip Protter
Stochastic Integration and Differential Equations Philip Protter 2nd Corrected ed. 2005. Corr. 2nd printing 2005 edition

Name: Stochastic Integration and Differential Equations
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Author: Philip Protter

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Stochastic Integration and Differential Equations

Philip Protter

2nd Corrected ed. 2005. Corr. 2nd printing 2005 edition

Chapter 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).

415 pages, biography

Media	Böcker Bok
Releasedatum	7 oktober 2003
ISBN13	9783540003137
Utgivare	Springer-Verlag Berlin and Heidelberg Gm
Antal sidor	415
Mått	148 × 228 × 23 mm · 748 g
Språk	Engelska Tyska