Stochastic Integration and Differential Equations Hardcover - 2003
by Philip Protter
From the rear cover
It has been 15 years since the first edition ofStochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts on the same subject have been published, often with connections to applications, especially mathematical finance. Yet in spite of the apparent simplicity of approach, none of these books has used the functional analytic method of presenting semimartingales and stochastic integration. Thus a 2nd edition seems worthwhile and timely, though it is no longer appropriate to call it "a new approach". The new edition has several significant changes, most prominently the addition of exercises for solution. These are intended to supplement the text, but lemmas needed in a proof are never relegated to the exercises. Many of the exercises have been tested by graduate students at Purdue and Cornell Universities. Chapter 3 has been completely redone, with a new, more intuitive and simultaneously elementary proof of the fundamental Doob-Meyer decomposition theorem, the more general version of the Girsanov theorem due to Lenglart, the Kazamaki-Novikov criteria for exponential local martingales to be martingales, and a modern treatment of compensators. 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�¬(tm)s examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process). New topics added include an introduction to the theory of the expansion of filtrations, a treatment of the Fefferman martingale inequality, and that the dual space of the martingale space H^1 can be identified with BMO martingales. Solutions to selected exercises are available at the web site of the author, with current URL http: //www.orie.cornell.edu/ protter/books.html.
Details
- Title Stochastic Integration and Differential Equations
- Author Philip Protter
- Binding Hardcover
- Edition 2nd
- Pages 415
- Volumes 1
- Language ENG
- Publisher Springer, China
- Date 2003-10-07
- Illustrated Yes
- Features Bibliography, Illustrated, Index
- ISBN 9783540003137 / 3540003134
- Weight 1.65 lbs (0.75 kg)
- Dimensions 9.48 x 6.68 x 1.12 in (24.08 x 16.97 x 2.84 cm)
- Library of Congress Catalog Number 2003059169
- Dewey Decimal Code 515.353
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