Stochastic Integration and Differential Equations: A New Approach
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin, Heidelberg
Springer Berlin Heidelberg
1990
|
| Schriftenreihe: | Applications of Mathematics
21 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | The idea of this book began with an invitation to give a course at the Third Chilean Winter School in Probability and Statistics, at Santiago de Chile, in July, 1984. Faced with the problem of teaching stochastic integration in only a few weeks, I realized that the work of C. Dellacherie [2] provided an outline for just such a pedagogic approach. I developed this into aseries of lectures (Protter [6]), using the work of K. Bichteler [2], E. Lenglart [3] and P. Protter [7], as well as that of Dellacherie. I then taught from these lecture notes, expanding and improving them, in courses at Purdue University, the University of Wisconsin at Madison, and the University of Rouen in France. I take this opportunity to thank these institut ions and Professor Rolando Rebolledo for my initial invitation to Chile. This book assumes the reader has some knowledge of the theory of stochastic processes, including elementary martingale theory. While we have recalled the few necessary martingale theorems in Chap. I, we have not provided proofs, as there are already many excellent treatments of martingale theory readily available (e. g. , Breiman [1], Dellacherie-Meyer [1,2], or Ethier Kurtz [1]). There are several other texts on stochastic integration, all of which adopt to some extent the usual approach and thus require the general theory. The books of Elliott [1], Kopp [1], Metivier [1], Rogers-Williams [1] and to a much lesser extent Letta [1] are examples |
| Beschreibung: | 1 Online-Ressource (X, 302 p) |
| ISBN: | 9783662026199 9783662026212 |
| ISSN: | 0172-4568 |
| DOI: | 10.1007/978-3-662-02619-9 |
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Datensatz im Suchindex
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| any_adam_object | |
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| dewey-search | 519.2 |
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| discipline | Mathematik |
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| indexdate | 2024-07-10T01:21:13Z |
| institution | BVB |
| isbn | 9783662026199 9783662026212 |
| issn | 0172-4568 |
| language | English |
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| spelling | Protter, Philip Verfasser aut Stochastic Integration and Differential Equations A New Approach by Philip Protter Berlin, Heidelberg Springer Berlin Heidelberg 1990 1 Online-Ressource (X, 302 p) txt rdacontent c rdamedia cr rdacarrier Applications of Mathematics 21 0172-4568 The idea of this book began with an invitation to give a course at the Third Chilean Winter School in Probability and Statistics, at Santiago de Chile, in July, 1984. Faced with the problem of teaching stochastic integration in only a few weeks, I realized that the work of C. Dellacherie [2] provided an outline for just such a pedagogic approach. I developed this into aseries of lectures (Protter [6]), using the work of K. Bichteler [2], E. Lenglart [3] and P. Protter [7], as well as that of Dellacherie. I then taught from these lecture notes, expanding and improving them, in courses at Purdue University, the University of Wisconsin at Madison, and the University of Rouen in France. I take this opportunity to thank these institut ions and Professor Rolando Rebolledo for my initial invitation to Chile. This book assumes the reader has some knowledge of the theory of stochastic processes, including elementary martingale theory. While we have recalled the few necessary martingale theorems in Chap. I, we have not provided proofs, as there are already many excellent treatments of martingale theory readily available (e. g. , Breiman [1], Dellacherie-Meyer [1,2], or Ethier Kurtz [1]). There are several other texts on stochastic integration, all of which adopt to some extent the usual approach and thus require the general theory. The books of Elliott [1], Kopp [1], Metivier [1], Rogers-Williams [1] and to a much lesser extent Letta [1] are examples Mathematics Global analysis (Mathematics) Distribution (Probability theory) Engineering mathematics Probability Theory and Stochastic Processes Analysis Appl.Mathematics/Computational Methods of Engineering Mathematik Martingal (DE-588)4126466-6 gnd rswk-swf Stochastisches Integral (DE-588)4126478-2 gnd rswk-swf Stochastische Differentialgleichung (DE-588)4057621-8 gnd rswk-swf Differentialgleichung (DE-588)4012249-9 gnd rswk-swf Stochastisches Integral (DE-588)4126478-2 s Differentialgleichung (DE-588)4012249-9 s 1\p DE-604 Stochastische Differentialgleichung (DE-588)4057621-8 s 2\p DE-604 Martingal (DE-588)4126466-6 s 3\p DE-604 https://doi.org/10.1007/978-3-662-02619-9 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Protter, Philip Stochastic Integration and Differential Equations A New Approach Mathematics Global analysis (Mathematics) Distribution (Probability theory) Engineering mathematics Probability Theory and Stochastic Processes Analysis Appl.Mathematics/Computational Methods of Engineering Mathematik Martingal (DE-588)4126466-6 gnd Stochastisches Integral (DE-588)4126478-2 gnd Stochastische Differentialgleichung (DE-588)4057621-8 gnd Differentialgleichung (DE-588)4012249-9 gnd |
| subject_GND | (DE-588)4126466-6 (DE-588)4126478-2 (DE-588)4057621-8 (DE-588)4012249-9 |
| title | Stochastic Integration and Differential Equations A New Approach |
| title_auth | Stochastic Integration and Differential Equations A New Approach |
| title_exact_search | Stochastic Integration and Differential Equations A New Approach |
| title_full | Stochastic Integration and Differential Equations A New Approach by Philip Protter |
| title_fullStr | Stochastic Integration and Differential Equations A New Approach by Philip Protter |
| title_full_unstemmed | Stochastic Integration and Differential Equations A New Approach by Philip Protter |
| title_short | Stochastic Integration and Differential Equations |
| title_sort | stochastic integration and differential equations a new approach |
| title_sub | A New Approach |
| topic | Mathematics Global analysis (Mathematics) Distribution (Probability theory) Engineering mathematics Probability Theory and Stochastic Processes Analysis Appl.Mathematics/Computational Methods of Engineering Mathematik Martingal (DE-588)4126466-6 gnd Stochastisches Integral (DE-588)4126478-2 gnd Stochastische Differentialgleichung (DE-588)4057621-8 gnd Differentialgleichung (DE-588)4012249-9 gnd |
| topic_facet | Mathematics Global analysis (Mathematics) Distribution (Probability theory) Engineering mathematics Probability Theory and Stochastic Processes Analysis Appl.Mathematics/Computational Methods of Engineering Mathematik Martingal Stochastisches Integral Stochastische Differentialgleichung Differentialgleichung |
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