Stochastic Integration and Differential Equations: A New Approach (Hardback)
  • Stochastic Integration and Differential Equations: A New Approach (Hardback)
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Stochastic Integration and Differential Equations: A New Approach (Hardback)

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£42.50
Hardback 312 Pages / Published: 21/04/1995
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This book is quite different from others on the subject in that it presents a rapid introduction to the modern semimartingale theory of stochastic integration and differential equations, without first having to treat the beautiful but highly technical "general theory of processes". The author's new approach (based on the theorem of Bitcheler-Dellacherie) also give a more intuitive understanding of the subject, and permits proofs to be much less technical. All of the major theorems of stochastic integration are given, including a comprehensive treatment (first time in English) of local times. A theory of stochastic differential equations driven by semimartingales is developed, including Fisk-Stratonovich equations, Markov properties, stability, and an introduction to the theory of flows. Further topics presented for the 1st time in book form include an elementary presentation of Azema's martingale. This book will quickly become a standard reference on the subject, to be used by specialists and non-specialists alike, both for the sake of the theory and for its application.

Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN: 9783540509967
Number of pages: 312
Weight: 615 g
Edition: 1990. 3rd Printing ed.

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