ENGLISH

Stochastic integration theory

By Peter Medvegyev

Book information

Publisher
Oxford University Press
Year
2007
ISBN
0199215251, 9780199215256, 9781435606937
LCC
QA274.22 .M43 2007
Open Library ID
OL10145763M
Language
english
Format
PDF
Filesize
2 MB (2337656 bytes)
Series
Oxford graduate texts in mathematics 14
Pages
629\629
Library
Kolxo3
Scanned
yes
Time added
2009-07-20 03:45:11

Description

This graduate level text covers the theory of stochastic integration, an important area of mathematics that has a wide range of applications, including financial mathematics and signal processing. Aimed at graduate students in mathematics, statistics, probability, mathematical finance, and economics, the book not only covers the theory of the stochastic integral in great depth but also presents the associated theory (martingales, Levy processes) and important examples (Brownian motion, Poisson process).

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