Stochastic integration theory / Péter Medvegyev.
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Oxford ; New York :
Oxford University Press,
2007.
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| Series: | Oxford graduate texts in mathematics ;
14. |
| Subjects: |
Table of Contents:
- 1. Stochastic processes
- 2. Stochastic integration with locally square-integrable martingales
- 3. The structure of local martingales
- 4. General theory of stochastic integration
- 5. Some other theorems
- 6. Ito's formula
- 7. Processes with independent increments
- Appendices
- A: Results from measure theory
- B: Wiener processes
- C: Poisson processes.