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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).
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"This monograph gives a comprehensive exposition of stochastic calculus and can be used as a textbook for graduate students with a good knowledge of measure-theoretic probability and mathematical analysis...Although the material presented in this book can be found in other monographs on the subject, it can of interest for a wide readership, mainly due to the plenty of clarifying examples and the very detailed proofs of the results."--Mathematical Reviews
Peter Medvegyev is at the Budapest University of Economic Sciences.
Review:
"This monograph gives a comprehensive exposition of stochastic calculus and can be used as a textbook for graduate students with a good knowledge of measure-theoretic probability and mathematical analysis...Although the material presented in this book can be found in other monographs on the subject, it can of interest for a wide readership, mainly due to the plenty of clarifying examples and the very detailed proofs of the results."--Mathematical Reviews
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- PublisherOxford University Press
- Publication date2007
- ISBN 10 0199215251
- ISBN 13 9780199215256
- BindingHardcover
- Edition number1
- Number of pages544
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Book Description Hardcover. Condition: new. Hardcover. 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 importantexamples (Brownian motion, Poisson process). This graduate level text covers the theory of stochastic integration, an important area of Mathematics with a wide range of applications, including financial mathematics and signal processing. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability. Seller Inventory # 9780199215256
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Book Description Hardcover. Condition: new. Hardcover. 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 importantexamples (Brownian motion, Poisson process). This graduate level text covers the theory of stochastic integration, an important area of Mathematics with a wide range of applications, including financial mathematics and signal processing. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Seller Inventory # 9780199215256
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