Stochastic calculus and applications. (2015)

• Record Type: Book
• Further Information: Note: Samuel N. Cohen, Robert J. Elliott.
• Authors: Cohen, Samuel N; Elliott, Robert J (Robert James), 1940-
• Contents: 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.
• Publisher Details: New York : Birkhäuser
• Publication Date: 2015
• Copyright Date: 2015
• Extent: 1 online resource (666 pages)
• Subjects: 519.2; Mathematics; Stochastic analysis; Calculus; Mathematics -- Differential Equations; Technology & Engineering -- Electrical; Mathematics -- Counting & Numeration; Mathematics -- Applied; Differential calculus & equations; Electrical engineering; Numerical analysis; Finance & accounting; Distribution (Probability theory); Differential equations, partial; Computer engineering; Computer science_xMathematics; Finance; Mathematics -- Probability & Statistics -- General; Probability & statistics
• Languages: English
• ISBNs: 9781493928675
• Related ISBNs: 9781493928668
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.