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Stochastic Integration and Differential Equations Philip Protter 2nd Corrected ed. 2005. Corr. 2nd printing 2005 edition
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Stochastic Integration and Differential Equations
Philip Protter
Chapter 4 treats sigma martingales (important in finance theory) and gives a more comprehensive treatment of martingale representation, including both the Jacod-Yor theory and Emery's examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process).
415 pages, biography
| Medios de comunicación | Libros Book |
| Publicado | 7 de octubre de 2003 |
| ISBN13 | 9783540003137 |
| Editores | Springer-Verlag Berlin and Heidelberg Gm |
| Páginas | 415 |
| Dimensiones | 148 × 228 × 23 mm · 748 g |
| Lengua | Inglés Alemán |
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