Elliott, Robert J. (Robert James), 1940-
Stochastic calculus and applications / Robert J. Elliott.
— New York : Springer-Verlag, c1982. viii, 302 p. ; 25 cm. — (Applications of mathematics ; 18)
Incluye referencias bibliográficas (p. [295]-298) e índice.
Contenido: 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.
ISBN 0387907637
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