Stochastic calculus and applications /
Guardado en:
| Autor Principal: | |
|---|---|
| Formato: | Libro |
| Idioma: | English |
| Publicado: |
New York :
Springer-Verlag,
c1982.
|
| Series: | Applications of mathematics ;
18 |
| Materias: | |
| Etiquetas: |
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| LEADER | 01612cam a2200229 a 4500 | ||
|---|---|---|---|
| 001 | MAT.inmabb004957 | ||
| 008 | 820825s1982####nyu######b####001#0#eng## | ||
| 005 | 20130315133533.0 | ||
| 245 | 1 | 0 | |a Stochastic calculus and applications / |c Robert J. Elliott. |
| 260 | |a New York : |b Springer-Verlag, |c c1982. | ||
| 300 | |a viii, 302 p. ; |c 25 cm. | ||
| 440 | 0 | |a Applications of mathematics ; |v 18 | |
| 504 | |a Incluye referencias bibliográficas (p. [295]-298) e índice. | ||
| 505 | 0 | |a 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. | |
| 510 | 4 | |a MR, |c 85b:60059 | |
| 020 | |a 0387907637 | ||
| 100 | 1 | |a Elliott, Robert J. |q (Robert James), |d 1940- | |
| 650 | 0 | |a Stochastic analysis. | |
| 084 | |a 60H05 (60G35 60J60 93E10 93E20) |2 msc2000 | ||
| 010 | |a 82016816 | ||
| 040 | |a DLC |c DLC |d DLC | ||
| 859 | |h 60 |i El46 |p A-6037 |b BIB. MATEMATICA | ||