Paperback. It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts on the same subject have been published, often with connections to applications, especially mathematical finance. Yet in spite of the apparent simplicity of approach, none of these books has used the functional analytic method of presenting semimartingales and stochastic integration. Thus a 2nd edition seems worthwhile and timely, though it is no longer appropriate to call it "a new approach". The new edition has several significant changes, most prominently the addition of exercises for solution. These are intended to supplement the text, but lemmas needed in a proof are never relegated to the exercises. Many of the exercises have been tested by graduate students at Purdue and Cornell Universities. Chapter 3 has been completely redone, with a new, more intuitive and simultaneously elementary proof of the fundamental Doob-Meyer decomposition theorem, the more general version of the Girsanov theorem due to Lenglart, the Kazamaki-Novikov criteria for exponential local martingales to be martingales, and a modern treatment of compensators. 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 Emerys examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process). New topics added include an introduction to the theory of the expansion of filtrations, a treatment of the Fefferman martingale inequality, and that the dual space of the martingale space H^1 can be identified with BMO martingales. Solutions to selected exercises are available at the web site of the author, with current URL /~protter/books.html. 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 Emerys examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process). Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.

N� de ref. del art�culo 9783642055607

Contactar al vendedor

Denunciar este art�culo

Detalles bibliogr�ficos

T�tulo: Stochastic Integration and Differential Equations (Paperback)
Editor: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, Berlin
Fecha de publicaci�n: 2010
Idioma: Ingl�s
ISBN 10: 3642055605
ISBN 13: 9783642055607
Encuadernaci�n: Paperback
Estado: new

Acerca de

Sinopsis

It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts on the same subject have been published, often with connections to applications, especially mathematical finance. Yet in spite of the apparent simplicity of approach, none of these books has used the functional analytic method of presenting semimartingales and stochastic integration. Thus a 2nd edition seems worthwhile and timely, though it is no longer appropriate to call it "a new approach".

The new edition has several significant changes, most prominently the addition of exercises for solution. These are intended to supplement the text, but lemmas needed in a proof are never relegated to the exercises. Many of the exercises have been tested by graduate students at Purdue and Cornell Universities. Chapter 3 has been completely redone, with a new, more intuitive and simultaneously elementary proof of the fundamental Doob-Meyer decomposition theorem, the more general version of the Girsanov theorem due to Lenglart, the Kazamaki-Novikov criteria for exponential local martingales to be martingales, and a modern treatment of compensators. 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). New topics added include an introduction to the theory of the expansion of filtrations, a treatment of the Fefferman martingale inequality, and that the dual space of the martingale space H^1 can be identified with BMO martingales. Solutions to selected exercises are available at the web site of the author, with current URL http://www.orie.cornell.edu/~protter/books.html.

Acerca del autor

Charlotte y Peter Fiell son dos autoridades en historia, teor�a y cr�tica del dise�o y han escrito m�s de sesenta libros sobre la materia, muchos de los cuales se han convertido en �xitos de ventas. Tambi�n han impartido conferencias y cursos como profesores invitados, han comisariado exposiciones y asesorado a fabricantes, museos, salas de subastas y grandes coleccionistas privados de todo el mundo. Los Fiell han escrito numerosos libros para TASCHEN, entre los que se incluyen 1000 Chairs, Dise�o del siglo XX, El dise�o industrial de la A a la Z, Scandinavian Design y Dise�o del siglo XXI.

"Sobre este t�tulo" puede pertenecer a otra edici�n de este libro.

Descripci�n de la librer�a

Ver la p�gina web de la librer�a

Informaci�n empresarial del vendedor

The Nile Group Pty Ltd
42 Apex Drive, Truganina, VIC, 3029, Australia

Condiciones de venta y env�o

Condiciones de venta

We guarantee the condition of every book as it's described on the Abebooks web sites. If you're dissatisfied with your purchase (Incorrect Book/Not as Described/Damaged) or if the order hasn't arrived, you're eligible for a refund within 30 days of the estimated delivery date. If you've changed your mind about a book that you've ordered, please use the Ask bookseller a question link to contact us and we'll respond within 2 business days.

Derecho a cancelaci�n

Condiciones de env�o

Please note that titles are dispatched from our UK and NZ warehouse. Delivery times specified in shipping terms. Orders ship within 2 business days. Delivery to your door then takes 8-15 days.

Tarifas de env�o de Australia a Espa�a

Tarifas de env�o de Australia a Espa�a
Cantidad del pedido	De 25 a 60 d�as h�biles	De 8 a 59 d�as h�biles
Primer art�culo	EUR 31.60	EUR 37.58

Los plazos de entrega los establecen los vendedores y var�an seg�n el transportista y la ubicaci�n. Los pedidos que pasan por la aduana pueden sufrir retrasos y los compradores son responsables de los aranceles o tarifas asociadas. Los vendedores pueden ponerse en contacto con usted en relaci�n con cargos adicionales para cubrir cualquier aumento en los costes de env�o de los art�culos.