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Stochastic integration and differential equations (Record no. 559537)

000 -LEADER
fixed length control field 02708 a2200253 4500
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20181217135024.0
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 181212b xxu||||| |||| 00| 0 eng d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
ISBN 9783642055607
040 ## - CATALOGING SOURCE
Transcribing agency IIT Kanpur
041 ## - LANGUAGE CODE
Language code of text/sound track or separate title eng
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 519.2
Item number P946s2
100 ## - MAIN ENTRY--AUTHOR NAME
Personal name Protter, Philip E.
245 ## - TITLE STATEMENT
Title Stochastic integration and differential equations
Statement of responsibility, etc Philip E. Protter
250 ## - EDITION STATEMENT
Edition statement 2nd ed.
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Name of publisher Springer
Year of publication 2010
Place of publication Germany
300 ## - PHYSICAL DESCRIPTION
Number of Pages xiii, 419p.
440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE
Title Stochastic modelling and applied probability formally : applications of mathematics
490 ## - SERIES STATEMENT
Series statement / edited by B. Rozovskii; no.21
520 ## - SUMMARY, ETC.
Summary, etc 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.htm
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical Term Stochastic integrals
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical Term Martingales (Mathematics)
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical Term Stochastic differential equations
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Koha item type Books
Holdings
Withdrawn status Lost status Damaged status Not for loan Collection code Permanent Location Current Location Date acquired Source of acquisition Cost, normal purchase price Full call number Accession Number Cost, replacement price Koha item type
        General Stacks PK Kelkar Library, IIT Kanpur PK Kelkar Library, IIT Kanpur 2018-12-11 56 4068.63 519.2 P946s2 A184090 6164.59 Books

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