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)
Resource Information
The item Stochastic calculus and applications, Samuel N. Cohen, Robert J. Elliott, (electronic book) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Liverpool.This item is available to borrow from 1 library branch.
Resource Information
The item Stochastic calculus and applications, Samuel N. Cohen, Robert J. Elliott, (electronic book) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Liverpool.
This item is available to borrow from 1 library branch.
 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 selfcontained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for firstyear 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)
 Language
 eng
 Edition
 2nd ed.
 Extent
 1 online resource (xxiii, 666 p.)
 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 DoobMeyer 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
 Isbn
 9781493928675
 Label
 Stochastic calculus and applications
 Title
 Stochastic calculus and applications
 Statement of responsibility
 Samuel N. Cohen, Robert J. Elliott
 Subject

 Electrical Engineering
 Electrical engineering
 Mathematics
 Partial Differential Equations
 Probabilities
 Probability Theory and Stochastic Processes
 Quantitative Finance
 Stochastic analysis
 Computational Mathematics and Numerical Analysis
 Computer science  Mathematics
 Differential equations, Partial
 Economics, Mathematical
 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 selfcontained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for firstyear 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)
 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.A1274.9
 QA274274.9
 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)
 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 DoobMeyer 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
 10.1007/9781493928675
 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)
 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 DoobMeyer 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
 10.1007/9781493928675
 Other physical details
 ill.
 Quality assurance targets
 absent
 Reformatting quality
 access
 Reproduction note
 Electronic resource.
 Specific material designation
 remote
Subject
 Electrical Engineering
 Electrical engineering
 Mathematics
 Partial Differential Equations
 Probabilities
 Probability Theory and Stochastic Processes
 Quantitative Finance
 Stochastic analysis
 Computational Mathematics and Numerical Analysis
 Computer science  Mathematics
 Differential equations, Partial
 Economics, Mathematical
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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.liverpool.ac.uk/portal/StochasticcalculusandapplicationsSamuelN./sDxL_iVVuA/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.liverpool.ac.uk/portal/StochasticcalculusandapplicationsSamuelN./sDxL_iVVuA/">Stochastic calculus and applications, Samuel N. Cohen, Robert J. Elliott, (electronic book)</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.liverpool.ac.uk/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.liverpool.ac.uk/">University of Liverpool</a></span></span></span></span></div>