Stochastic Integration and Differential Equations
Philip Protter
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, 2010
145,75 €On orderDelivery: 2-3 weeks
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).
- ISBN-13
- 9783642055607
- ISBN-10
- 3642055605
- Publisher
- Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
- Year
- 2010
- Publication date
- 2010-12-01
- Pages
- 415
- Dimensions
- 235x157x23
- Weight
- 656