Stochastic Integration and Differential Equations - Stochastic Modelling and Applied Probability - Philip Protter - Books - Springer-Verlag Berlin and Heidelberg Gm - 9783642055607 - December 1, 2010
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Stochastic Integration and Differential Equations - Stochastic Modelling and Applied Probability Second Edition 2005 edition

Philip Protter

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Stochastic Integration and Differential Equations - Stochastic Modelling and Applied Probability Second Edition 2005 edition

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).

434 pages, biography

Media Books     Paperback Book   (Book with soft cover and glued back)
Released December 1, 2010
ISBN13 9783642055607
Publishers Springer-Verlag Berlin and Heidelberg Gm
Pages 415
Dimensions 157 × 235 × 23 mm   ·   656 g
Language French  
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