Coverart for item
The Resource Stochastic calculus and applications, Samuel N. Cohen, Robert J. Elliott, (electronic book)

Stochastic calculus and applications, Samuel N. Cohen, Robert J. Elliott, (electronic book)

Label
Stochastic calculus and applications
Title
Stochastic calculus and applications
Statement of responsibility
Samuel N. Cohen, Robert J. Elliott
Creator
Contributor
Author
Subject
Language
eng
Summary
Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance. Building upon the original release of this title, this text will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry. New features of this edition include: End of chapter exercises; New chapters on basic measure theory and Backward SDEs; Reworked proofs, examples and explanatory material; Increased focus on motivating the mathematics; Extensive topical index. "Such a self-contained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for first-year graduate studies. It will be useful for all who intend to work with stochastic calculus as well as with its applications."-Zentralblatt (from review of the First Edition)
Member of
Cataloging source
NUI
http://library.link/vocab/creatorName
Cohen, Samuel N
Dewey number
519.2
Illustrations
illustrations
Image bit depth
0
Index
index present
LC call number
  • QA274.2
  • QA273.A1-274.9
  • QA274-274.9
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorDate
1940-
http://library.link/vocab/relatedWorkOrContributorName
Elliott, Robert J.
Series statement
Probability and Its Applications,
http://library.link/vocab/subjectName
  • Stochastic analysis
  • Mathematics
  • Differential equations, Partial
  • Economics, Mathematical
  • Computer science
  • Probabilities
  • Electrical engineering
  • Probability Theory and Stochastic Processes
  • Partial Differential Equations
  • Electrical Engineering
  • Computational Mathematics and Numerical Analysis
  • Quantitative Finance
Label
Stochastic calculus and applications, Samuel N. Cohen, Robert J. Elliott, (electronic book)
Instantiates
Publication
Antecedent source
mixed
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Part I: Measure Theoretic Probability -- Measure Integral -- Probabilities and Expectation -- Part II: Stochastic Processes -- Filtrations, Stopping Times and Stochastic Processes -- Martingales in Discrete Time -- Martingales in Continuous Time -- The Classification of Stopping Times -- The Progressive, Optional and Predicable -Algebras -- Part III: Stochastic Integration -- Processes of Finite Variation -- The Doob-Meyer Decomposition -- The Structure of Square Integrable Martingales -- Quadratic Variation and Semimartingales -- The Stochastic Integral -- Random Measures -- Part IV: Stochastic Differential Equations -- Ito's Differential Rule -- The Exponential Formula and Girsanov's Theorem -- Lipschitz Stochastic Differential Equations -- Markov Properties of SDEs -- Weak Solutions of SDEs -- Backward Stochastic Differential Equations -- Part V: Applications -- Control of a Single Jump -- Optimal Control of Drifts and Jump Rates -- Filtering. Part VI: Appendices
Control code
SPR932166571
Dimensions
unknown
Edition
2nd ed.
Extent
1 online resource (xxiii, 666 p.)
File format
multiple file formats
Form of item
online
Isbn
9781493928675
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1007/978-1-4939-2867-5
Other physical details
ill.
Quality assurance targets
absent
Reformatting quality
access
Reproduction note
Electronic resource.
Specific material designation
remote
Label
Stochastic calculus and applications, Samuel N. Cohen, Robert J. Elliott, (electronic book)
Publication
Antecedent source
mixed
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Part I: Measure Theoretic Probability -- Measure Integral -- Probabilities and Expectation -- Part II: Stochastic Processes -- Filtrations, Stopping Times and Stochastic Processes -- Martingales in Discrete Time -- Martingales in Continuous Time -- The Classification of Stopping Times -- The Progressive, Optional and Predicable -Algebras -- Part III: Stochastic Integration -- Processes of Finite Variation -- The Doob-Meyer Decomposition -- The Structure of Square Integrable Martingales -- Quadratic Variation and Semimartingales -- The Stochastic Integral -- Random Measures -- Part IV: Stochastic Differential Equations -- Ito's Differential Rule -- The Exponential Formula and Girsanov's Theorem -- Lipschitz Stochastic Differential Equations -- Markov Properties of SDEs -- Weak Solutions of SDEs -- Backward Stochastic Differential Equations -- Part V: Applications -- Control of a Single Jump -- Optimal Control of Drifts and Jump Rates -- Filtering. Part VI: Appendices
Control code
SPR932166571
Dimensions
unknown
Edition
2nd ed.
Extent
1 online resource (xxiii, 666 p.)
File format
multiple file formats
Form of item
online
Isbn
9781493928675
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1007/978-1-4939-2867-5
Other physical details
ill.
Quality assurance targets
absent
Reformatting quality
access
Reproduction note
Electronic resource.
Specific material designation
remote

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