Stochastic Integration TheoryPeter Medvegyev
[url=http://ukcatalogue.oup.com/category/academic/series/mathematics/ogtm.do]Oxford Graduate Texts in Mathematics[/url]14
632 pages | 234x156mm
978-0-19-921525-6 | Hardback | 26 July 2007

• Applications to many fields of mathematical modelling
• Clear, logical exposition
• Numerous examples, detailed proofs, and cross-referencing aid understanding
  

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).

Readership: Graduates and researchers in Mathematics, Statistics, Probability, Mathematical Finance, and Economics

Contents

1: Stochastic processes 2: Stochastic integration with locally square-integrable martingales 3: The structure of local martingales 4: General theory of stochastic integration 5: Some other theorems 6: Ito's formula 7: Processes with independent increments Appendices A: Results from measure theory B: Wiener processes C: Poisson processes