Stochastic Integration Theory

Hardcover | July 26, 2007

byPeter Medvegyev

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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, andEconomics, 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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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, andEconomics, the book not only covers the theory ...

Peter Medvegyev is at the Budapest University of Economic Sciences.
Format:HardcoverDimensions:624 pages, 9.21 × 6.14 × 1.5 inPublished:July 26, 2007Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0199215251

ISBN - 13:9780199215256

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Table of Contents

1. Stochastic processes2. Stochastic integration with locally square-integrable martingales3. The structure of local martingales4. General theory of stochastic integration5. Some other theorems6. Ito's formula7. Processes with independent incrementsAppendicesA. Results from measure theoryB. Wiener processesC. Poisson processes