大葉大學圖書館 |

Stochastic calculus and applications[electronic resource] /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
杜威分類號:	519.2
書名/作者:	Stochastic calculus and applications/ by Samuel N. Cohen, Robert J. Elliott.
作者:	Cohen, Samuel N.
其他作者:	Elliott, Robert J.
出版者:	New York, NY : : Springer New York :, 2015.
面頁冊數:	xxiii, 666 p. : : ill., digital ;; 24 cm.
Contained By:	Springer eBooks
標題:	Partial Differential Equations.
標題:	Electrical Engineering.
標題:	Computational Mathematics and Numerical Analysis.
標題:	Quantitative Finance.
標題:	Stochastic analysis.
標題:	Mathematics.
標題:	Differential equations, Partial.
標題:	Economics, Mathematical.
標題:	Computer science - Mathematics.
標題:	Probabilities.
標題:	Electrical engineering.
標題:	Probability Theory and Stochastic Processes.
ISBN:	9781493928675
ISBN:	9781493928668
內容註:	Part I: Measure Theoretic Probability -- Measure Integral -- Probabilities and Expectation -- Part II: Stochastic Processes -- Filtrations, Stopping Times and Stochastic Processes -- Martingales in Discrete Time -- Martingales in Continuous Time -- The Classification of Stopping Times -- The Progressive, Optional and Predicable -Algebras -- Part III: Stochastic Integration -- Processes of Finite Variation -- The Doob-Meyer Decomposition -- The Structure of Square Integrable Martingales -- Quadratic Variation and Semimartingales -- The Stochastic Integral -- Random Measures -- Part IV: Stochastic Differential Equations -- Ito's Differential Rule -- The Exponential Formula and Girsanov's Theorem -- Lipschitz Stochastic Differential Equations -- Markov Properties of SDEs -- Weak Solutions of SDEs -- Backward Stochastic Differential Equations -- Part V: Applications -- Control of a Single Jump -- Optimal Control of Drifts and Jump Rates -- Filtering. Part VI: Appendices.
摘要、提要註:	Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance. Building upon the original release of this title, this text will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry. New features of this edition include: End of chapter exercises; New chapters on basic measure theory and Backward SDEs; Reworked proofs, examples and explanatory material; Increased focus on motivating the mathematics; Extensive topical index. "Such a self-contained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for first-year graduate studies. It will be useful for all who intend to work with stochastic calculus as well as with its applications."-Zentralblatt (from review of the First Edition)
電子資源:	http://dx.doi.org/10.1007/978-1-4939-2867-5

Stochastic calculus and applications[electronic resource] /
Cohen, Samuel N.

Stochastic calculus and applications[electronic resource] /by Samuel N. Cohen, Robert J. Elliott. - 2nd ed. - New York, NY :Springer New York :2015. - xxiii, 666 p. :ill., digital ;24 cm. - Probability and its applications,2297-0371. - Probability and its applications..

Part I: Measure Theoretic Probability -- Measure Integral -- Probabilities and Expectation -- Part II: Stochastic Processes -- Filtrations, Stopping Times and Stochastic Processes -- Martingales in Discrete Time -- Martingales in Continuous Time -- The Classification of Stopping Times -- The Progressive, Optional and Predicable -Algebras -- Part III: Stochastic Integration -- Processes of Finite Variation -- The Doob-Meyer Decomposition -- The Structure of Square Integrable Martingales -- Quadratic Variation and Semimartingales -- The Stochastic Integral -- Random Measures -- Part IV: Stochastic Differential Equations -- Ito's Differential Rule -- The Exponential Formula and Girsanov's Theorem -- Lipschitz Stochastic Differential Equations -- Markov Properties of SDEs -- Weak Solutions of SDEs -- Backward Stochastic Differential Equations -- Part V: Applications -- Control of a Single Jump -- Optimal Control of Drifts and Jump Rates -- Filtering. Part VI: Appendices.

Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance. Building upon the original release of this title, this text will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry. New features of this edition include: End of chapter exercises; New chapters on basic measure theory and Backward SDEs; Reworked proofs, examples and explanatory material; Increased focus on motivating the mathematics; Extensive topical index. "Such a self-contained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for first-year graduate studies. It will be useful for all who intend to work with stochastic calculus as well as with its applications."-Zentralblatt (from review of the First Edition)

ISBN: 9781493928675

Standard No.: 10.1007/978-1-4939-2867-5doiSubjects--Topical Terms:

464931
Partial Differential Equations.

LC Class. No.: QA274.2

Dewey Class. No.: 519.2

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