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Stochastic Integration And Differential Equations: a New Approach

Stochastic Integration And Differential Equations: a New Approach

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  • ISBN:9783540003137
  • Editorial: Springer
  • Fecha de la edición:
  • Número de la edición: 2
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  • Nº Pág.:315
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It has been 13 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 we will no longer call it "a new approach".

Preliminaries.- Semimartingales and Stochastic Integrals.- Semimartingales and Decomposable Processes.- General Stochastic Integration and Local Times.- Stochastic Differential Equations.- Martingale Inequalities.- Expansion of Filtrations.- References.

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