國立虎尾科技大學 |

Stochastic Calculus and Applications

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/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.
面頁冊數:	XXIII, 666 p. 17 illus.online resource. :
Contained By:	Springer Nature eBook
標題:	Probabilities. -
電子資源:	https://doi.org/10.1007/978-1-4939-2867-5
ISBN:	9781493928675

Stochastic Calculus and Applications
Cohen, Samuel N.

Stochastic Calculus and Applications[electronic resource] /by Samuel N. Cohen, Robert J. Elliott. - 2nd ed. 2015. - XXIII, 666 p. 17 illus.online resource. - 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:

527847
Probabilities.

LC Class. No.: QA273.A1-274.9

Dewey Class. No.: 519.2

Stochastic Calculus and Applications
LDR:03580nam a22004335i 4500 001 962814
003 DE-He213
005 20200705171059.0
007 cr nn 008mamaa
008 201211s2015 xxu| s |||| 0|eng d
020 $a 9781493928675 $9 978-1-4939-2867-5
024 7 $a 10.1007/978-1-4939-2867-5 $2 doi
035 $a 978-1-4939-2867-5
050 4 $a QA273.A1-274.9
050 4 $a QA274-274.9
072 7 $a PBT $2 bicssc
072 7 $a MAT029000 $2 bisacsh
072 7 $a PBT $2 thema
072 7 $a PBWL $2 thema
082 0 4 $a 519.2 $2 23
100 1 $a Cohen, Samuel N. $4 aut $4 http://id.loc.gov/vocabulary/relators/aut $3 943792
245 1 0 $a Stochastic Calculus and Applications $h [electronic resource] / $c by Samuel N. Cohen, Robert J. Elliott.
250 $a 2nd ed. 2015.
264 1 $a New York, NY : $b Springer New York : $b Imprint: Birkhäuser, $c 2015.
300 $a XXIII, 666 p. 17 illus. $b online resource.
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
347 $a text file $b PDF $2 rda
490 1 $a Probability and Its Applications, $x 2297-0371
505 0 $a 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.
520 $a 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).
650 0 $a Probabilities. $3 527847
650 0 $a Partial differential equations. $3 1102982
650 0 $a Electrical engineering. $3 596380
650 0 $a Computer mathematics. $3 1199796
650 0 $a Economics, Mathematical . $3 1253712
650 1 4 $a Probability Theory and Stochastic Processes. $3 593945
650 2 4 $a Partial Differential Equations. $3 671119
650 2 4 $a Electrical Engineering. $3 768742
650 2 4 $a Computational Mathematics and Numerical Analysis. $3 669338
650 2 4 $a Quantitative Finance. $3 669372
700 1 $a Elliott, Robert J. $4 aut $4 http://id.loc.gov/vocabulary/relators/aut $3 672014
710 2 $a SpringerLink (Online service) $3 593884
773 0 $t Springer Nature eBook
776 0 8 $i Printed edition: $z 9781493928668
776 0 8 $i Printed edition: $z 9781493928682
776 0 8 $i Printed edition: $z 9781493936816
830 0 $a Probability and Its Applications, $x 2297-0371 $3 1257713
856 4 0 $u https://doi.org/10.1007/978-1-4939-2867-5
912 $a ZDB-2-SMA
912 $a ZDB-2-SXMS
950 $a Mathematics and Statistics (SpringerNature-11649)
950 $a Mathematics and Statistics (R0) (SpringerNature-43713)