Stochastic Integration
- 1st Edition - July 28, 1980
- Latest edition
- Authors: Michel Metivier, J. Pellaumail
- Editors: Z. W. Birnbaum, E. Lukacs
- Language: English
Probability and Mathematical Statistics: A Series of Monographs and Textbooks: Stochastic Integration focuses on the processes, methodologies, and approaches involved in stochastic… Read more
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Description
Description
Probability and Mathematical Statistics: A Series of Monographs and Textbooks: Stochastic Integration focuses on the processes, methodologies, and approaches involved in stochastic integration. The publication first takes a look at the Ito formula, stochastic integral equations, and martingales and semimartingales. Discussions focus on Meyer process and decomposition theorem, inequalities, examples of stochastic differential equations, general stochastic integral equations, and applications of the Ito formula. The text then elaborates on stochastic measures, including stochastic measures and related integration and the Riesz representation theorem. The manuscript tackles the special features of infinite dimensional stochastic integration, as well as the isometric integral of a Hubert-valued square integrable martingale, cylindrical processes, and stochastic integral with respect to 2-cylindrical martingales with finite quadratic variation. The book is a valuable reference for mathematicians and researchers interested in stochastic integration.
Table of contents
Table of contents
PrefaceAcknowledgmentsNotation1 Stochastic Integral With Respect To π-Processes 1 Stochastic Basis and Processes Extensions and Exercises 2 Stochastic Integral Extensions and Exercises Historical Notes2 The Ito Formula 3 Ito Formula 4 Applications of the Ito Formula Extensions and Exercises Historical Notes3 Stochastic Integral Equations 5 Examples of Stochastic Differential Equations 6 General Stochastic Integral Equations 7 Properties of Solutions; Conditions for Nonexplosion and Stability Exercises Historical Notes4 Martingales And Semimartingales 8 Martingales and Submartingales: Equi-Integrability and Tied Properties Extensions and Exercises 9 Meyer Process and Decomposition Theorem Extensions and Examples 10 π*-Processes and Semimartingales Extensions and Examples 11 Inequalities Historical Notes5 Stochastic Measures 12 Stochastic Measures and Related Integration 13 Riesz Representation Theorem Historical Notes6 Special Features Of Infinite-Dimensional Stochastic Integration 14 The Isometric Integral of a Hilbert-Valued Square Integrable Martingale Extensions and Comments 15 Cylindrical Processes 16 Stochastic Integral with Respect to 2-Cylindrical Martingales with Finite Quadratic Variation Historical NotesBibliographyIndex
Product details
Product details
- Edition: 1
- Latest edition
- Published: July 28, 1980
- Language: English
About the editor
About the editor
EL
E. Lukacs
Affiliations and expertise
Bowling Green State UniversityView book on ScienceDirect
View book on ScienceDirect
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