Stochastic Calculus and Applications

by Robert James Elliott and Samuel N. Cohen

Book Overview

Part I: Measure Theoretic Probability.- Measure Integral.- Probabilities and Expectation.- Part II: Stochastic Processes.- Filtrations, Stopping Times and Stochastic Processes.- Martingales in Discrete Time.- Martingales in Continuous Time.- The Classification of Stopping Times.- The Progressive, Optional and Predicable -Algebras.- Part III: Stochastic Integration.- Processes of Finite Variation.- The Doob-Meyer Decomposition.- The Structure of...

• Format: Paperback
• Language: English
• ISBN: 1493936816
• ISBN13: 9781493936816
• Release Date: November 2015
• Publisher: Birkhauser
• Length: 666 Pages
• Weight: 2.10 lbs.
• Dimensions: 1.4" x 6.1" x 9.2"