Research Catalog
Stochastic calculus and applications
- Title
- Stochastic calculus and applications / Robert J. Elliott.
- Author
- Elliott, Robert J. (Robert James), 1940-
- Publication
- New York, N.Y. : Springer, ©1982.
Items in the Library & Off-site
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1 Item
| Status | Format | Access | Call Number | Item Location |
|---|---|---|---|---|
| Text | Use in library | QA274.2 .E44 1982 | Off-site |
Details
- Description
- viii, 302 pages; 25 cm
- Series Statement
- Applications of mathematics ; v. 18
- Uniform Title
- Applications of mathematics ; v. 18.
- Subject
- Bibliography (note)
- Includes bibliographical references and index.
- Contents
- Conditional expectation, uniform integrability -- Filtrations, stopping times and stochastic processes -- Martingales : discrete time results -- Martingales : Continuous time results -- Predictable and totally inaccessible stopping times -- The optional and predictable o-fields -- Processes of bounded variation -- The Doob-Meyer decomposition -- The structure of square integrable Martingales -- Quadratic variation processes -- Stochastic integration with respect to Martingales and local Martingales -- Semimartingales and the differentiation rule -- The exponential formula and Girsanov's theorem -- Strong solutions of stochastic differential equations -- Random measures -- The optimal control of a continuous process -- The optimal control of a jump process -- Filtering.
- ISBN
- 0387907637
- 9780387907635
- 3540907637
- 9783540907633
- 3546907637 (canceled/invalid)
- LCCN
- 82016816
- OCLC
- ocm08762561
- 8762561
- SCSB-48477
- Owning Institutions
- Princeton University Library