Stochastic integration
by Métivier, Michel, Pellaumail, Jean
fromProbability and mathematical statistics
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Type: Book
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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.
"This book provides a compact exposition of the results explaining the interrelations existing between the metric geometry of Banach spaces and the theory of martingales with values in those Banach spaces"--