Martingales and stochastic analysis
This book is a thorough and self-contained treatise of martingales as a tool in stochastic analysis, stochastic integrals and stochastic differential equations. The book is clearly written and details of proofs are worked out.
Read More ↓Title Statements
- Full title :Martingales and stochastic analysis / J. Yeh.
Summary
This book is a thorough and self-contained treatise of martingales as a tool in stochastic analysis, stochastic integrals and stochastic differential equations. The book is clearly written and details of proofs are worked out.
Read More ↓Edition Statements
- Publication Date:©1995.
Publication Statements
- Publisher(s):World Scientific
- Place of Publication:Singapore
- Language:eng
- Publication Date:©1995.
The Physical Object
- Description:1 online resource (xiii, 501 pages)
Edition Identifiers
- ISBN:9789812779304, 9812779302
- oclc:ocn825768150
- LC Classification:QA274.5
- Dewey Decimal:519.2/87
Table of Contents
1. Stochastic Processes -- 2. Martingales -- 3. Stochastic Integrals -- 4. Stochastic Differential Equations -- A Stochastic Independence -- B Conditional Expectations -- C Regular Conditional Probabilities -- D Multidimensional Normal Distributions.
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