Stochastic Integration and Differential Equations: A New Approach

by Philip Protter

This book is quite different from others on the subject in that it presents a rapid introduction to the modern semimartingale theory of stochastic integration and differential equations, without first having to treat the beautiful but highly technical "general theory of processes". The author's new approach (based on the theorem of Bitcheler-Dellacherie) also give a more intuitive understanding of the subject, and permits proofs to be much less technical...

• Format: Hardcover
• Language: English
• ISBN: 3540509968
• ISBN13: 9783540509967
• Release Date: April 1995
• Publisher: Springer
• Length: 312 Pages
• Weight: 1.40 lbs.