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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Tabla de Contenidos:
- 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.