عنوان

Stochastic calculus and applications

شابک

1493928678

شابک

9781493928675

شابک اشتباه

149392866X (print)

شابک اشتباه

9781493928668

شابک اشتباه

9781493928668 (print)

شماره

dltt

عنوان اصلي

Stochastic calculus and applications

نام عام مواد

[Book]

نام نخستين پديدآور

Samuel N. Cohen, Robert J. Elliott

وضعيت ويراست

2nd ed

نام خاص و کميت اثر

1 online resource (xxiii, 666 p.) :

ساير جزييات

ill

عنوان فروست

Probability and Its Applications,

شاپا ي ISSN فروست

2297-0371

متن يادداشت

Includes bibliographical references and index

متن يادداشت

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

بدون عنوان

0

متن يادداشت

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)

شماره استاندارد بين المللي کتاب و موسيقي

9781493928668

موضوع مستند نشده

Computer science-- Mathematics

موضوع مستند نشده

Differential equations, Partial

موضوع مستند نشده

Economics, Mathematical

موضوع مستند نشده

Electrical engineering

موضوع مستند نشده

Mathematics

موضوع مستند نشده

Probabilities

موضوع مستند نشده

Stochastic analysis

موضوع مستند نشده

MAT029000

موضوع مستند نشده

PBT

موضوع مستند نشده

PBWL

شماره رده

شماره رده

شماره رده

مستند نام اشخاص تاييد نشده

Cohen, Samuel N.

مستند نام اشخاص تاييد نشده

Elliott, Robert J., (Robert James),1940-

مستند نام تنالگان تاييد نشده

Ohio Library and Information Network

تاريخ عمليات

20201222013534.1

نام الکترونيکي

نوع ماده

[Book]

کد کاربرگه

270410

تكميل شده

Y