Stochastic calculus and applications / Robert J. Elliott.
Series Applications of mathematics ; 18Editor: New York : Springer-Verlag, c1982Descripción: viii, 302 p. ; 25 cmISBN: 0387907637Tema(s): Stochastic analysisOtra clasificación: 60H05 (60G35 60J60 93E10 93E20)1. Conditional expectation. Uniform integrability2. Filtrations, stopping times and stochastic processes3. Martingales: discrete time results4. Martingales: continuous time results5. Predictable and totally inaccessible stopping times6. The optimal and predictable $ sigma$-fields7. Processes of bounded variation8. The Doob-Meyer decomposition9. The structure of square integrable martingales10. Quadratic variation processes11. Stochastic integration with respect to martingales and local martingales12. Semimartingales and the differential rule13. The exponential formula and Girsanov's theorem14. Strong solutions of stochastic differential equations15. Random measures16. The optimal control of a continuous process17. The optimal control of a jump process18. Filtering.
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Instituto de Matemática, CONICET-UNS | Libros ordenados por tema | 60 El46 (Browse shelf) | Available | A-6037 |
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| 60 D997m Markov processes / | 60 D997ta Sätze und Aufgaben über Markoffsche Prozesse / | 60 D997ti Markov processes : | 60 El46 Stochastic calculus and applications / | 60 Et84 Markov processes : | 60 Ex96 Extreme value theory : | 60 F191-2 Laws of small numbers : |
Incluye referencias bibliográficas (p. [295]-298) e índice.
1. Conditional expectation. Uniform integrability -- 2. Filtrations, stopping times and stochastic processes -- 3. Martingales: discrete time results -- 4. Martingales: continuous time results -- 5. Predictable and totally inaccessible stopping times -- 6. The optimal and predictable $ sigma$-fields -- 7. Processes of bounded variation -- 8. The Doob-Meyer decomposition -- 9. The structure of square integrable martingales -- 10. Quadratic variation processes -- 11. Stochastic integration with respect to martingales and local martingales -- 12. Semimartingales and the differential rule -- 13. The exponential formula and Girsanov's theorem -- 14. Strong solutions of stochastic differential equations -- 15. Random measures -- 16. The optimal control of a continuous process -- 17. The optimal control of a jump process -- 18. Filtering.
MR, 85b:60059
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