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Probability and Its Applications Ser.: Stochastic Calculus and Applications..
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Oggetto che si trova a: Jersey City, New Jersey, Stati Uniti
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Informazioni sull'oggetto
Il venditore si assume la piena responsabilità della messa in vendita dell'oggetto.
Numero oggetto eBay:116898215396
Specifiche dell'oggetto
- Condizione
- ISBN
- 9781493928668
Informazioni su questo prodotto
Product Identifiers
Publisher
Springer New York
ISBN-10
149392866X
ISBN-13
9781493928668
eBay Product ID (ePID)
2309700125
Product Key Features
Number of Pages
Xxiii, 666 Pages
Publication Name
Stochastic Calculus and Applications
Language
English
Publication Year
2015
Subject
Differential Equations / General, Probability & Statistics / General, Calculus, Electrical
Type
Textbook
Subject Area
Mathematics, Technology & Engineering
Series
Probability and Its Applications Ser.
Format
Hardcover
Dimensions
Item Weight
406.5 Oz
Item Length
9.3 in
Item Width
6.1 in
Additional Product Features
Edition Number
2
Intended Audience
Scholarly & Professional
LCCN
2015-060429
Dewey Edition
23
Reviews
"As supplementary reading for a second course or as s comprehensive (!) resource for the general theory of processes aimed at Ph. D. students and scholars, this second edition will stay a valuable resource." (René L. Schilling, Mathematical Reviews, October, 2016) "This is a fundamental book in modern stochastic calculus and its applications: rich contents, well structured material, comprehensive coverage of all significant results given with complete proofs and well illustrated by examples, carefully written text. Hence, there are more than enough reasons to strongly recommend the book to a wide audience. Among them, there are good and motivated graduate university students. ... Also, the book is an excellent reference book." (Jordan M. Stoyanov, zbMATH 1338.60001, 2016), "As supplementary reading for a second course or as s comprehensive (!) resource for the general theory of processes aimed at Ph. D. students and scholars, this second edition will stay a valuable resource." (Ren L. Schilling, Mathematical Reviews, October, 2016) "This is a fundamental book in modern stochastic calculus and its applications: rich contents, well structured material, comprehensive coverage of all significant results given with complete proofs and well illustrated by examples, carefully written text. Hence, there are more than enough reasons to strongly recommend the book to a wide audience. Among them, there are good and motivated graduate university students. ... Also, the book is an excellent reference book." (Jordan M. Stoyanov, zbMATH 1338.60001, 2016)
Number of Volumes
1 vol.
Illustrated
Yes
Dewey Decimal
519.2/2
Table Of Content
Part I: Measure Theoretic Probability.- Measure Integral.- Probabilities and Expectation.- Part II: Stochastic Processes.- Filtrations, Stopping Times and Stochastic Processes.- Martingales in Discrete Time.- Martingales in Continuous Time.- The Classification of Stopping Times.- The Progressive, Optional and Predicable -Algebras.- Part III: Stochastic Integration.- Processes of Finite Variation.- The Doob-Meyer Decomposition.- The Structure of Square Integrable Martingales.- Quadratic Variation and Semimartingales.- The Stochastic Integral.- Random Measures.- Part IV: Stochastic Differential Equations.- Ito's Differential Rule.- The Exponential Formula and Girsanov's Theorem.- Lipschitz Stochastic Differential Equations.- Markov Properties of SDEs.- Weak Solutions of SDEs.- Backward Stochastic Differential Equations.- Part V: Applications.- Control of a Single Jump.- Optimal Control of Drifts and Jump Rates.- Filtering. Part VI: Appendices.
Synopsis
Part I: Measure Theoretic Probability.- Measure Integral.- Probabilities and Expectation.- Part II: Stochastic Processes.- Filtrations, Stopping Times and Stochastic Processes.- Martingales in Discrete Time.- Martingales in Continuous Time.- The Classification of Stopping Times.- The Progressive, Optional and Predicable -Algebras.- Part III: Stochastic Integration.- Processes of Finite Variation.- The Doob-Meyer Decomposition.- The Structure of Square Integrable Martingales.- Quadratic Variation and Semimartingales.- The Stochastic Integral.- Random Measures.- Part IV: Stochastic Differential Equations.- Ito's Differential Rule.- The Exponential Formula and Girsanov's Theorem.- Lipschitz Stochastic Differential Equations.- Markov Properties of SDEs.- Weak Solutions of SDEs.- Backward Stochastic Differential Equations.- Part V: Applications.- Control of a Single Jump.- Optimal Control of Drifts and Jump Rates.- Filtering. Part VI: Appendices., Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance. Building upon the original release of this title, this text will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry. New features of this edition include: End of chapter exercises; New chapters on basic measure theory and Backward SDEs; Reworked proofs, examples and explanatory material; Increased focus on motivating the mathematics; Extensive topical index. "Such a self-contained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for first-year graduate studies. It will be useful for all who intend to work with stochastic calculus as well as with its applications."-Zentralblatt (from review of the First Edition), Revised and expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes as used by systems theorists, electronic engineers and, more recently, those working in quantitative, mathematical finance.Building upon the original release of this title it will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry.New features ofthisedition include: End of chapter exercises; New chapters on basic measure theory and Backward SDEs;- Reworked proofs, examples and explanatory material; Increased focus on motivating the mathematics; Extensive topical index. "Such a self-contained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for first-year graduate studies. It will be useful for all who intend to work with stochastic calculus as well as with its applications."-Zentralblatt (from review of the First Edition)"
LC Classification Number
QA273.A1-274.9
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