Stochastic Integration and Differential Equations :
[Book]
Version 2.1
Philip E. Protter
2., nd ed. 2003. corr. 3rd printing. Softcover version of original hardcover edition 2003
Berlin Springer
2010
XIII, 419 Seiten 235 x 155 mm
I Preliminaries.- II Semimartingales and Stochastic Integrals.- III Semimartingales and Decomposable Processes.- IV General Stochastic Integration and Local Times.- V Stochastic Differential Equations.- VI Expansion of Filtrations.- References.