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Stochastic Integration And Differential Equations

by Philip Protter
language: english
Publisher: SPRINGER-VERLAG BERLIN AND HEIDELBERG GMBH & CO. KG, December of 2010 ‧
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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).

Stochastic Integration And Differential Equations

by Philip Protter

Property Description
ISBN: 9783642055607
Publisher: SPRINGER-VERLAG BERLIN AND HEIDELBERG GMBH & CO. KG
Release Date: December of 2010
Language: English
Cover: Softcover
Pages: 415
Format: Book
Collection: Stochastic Modelling And Applied Probability
Categories: Books in English > Science > Mathematics
EAN: 9783642055607