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Stochastic Integration and Differential Equations - Philip Protter - Bog

Bag om Stochastic Integration and Differential Equations

Chapter 4 treats sigma martingales (important in finance theory) and gives a more comprehensive treatment of martingale representation, including both the Jacod-Yor theory and Emery's examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process).

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783642055607
  • Indbinding:
  • Paperback
  • Sideantal:
  • 415
  • Udgivet:
  • 1. december 2010
  • Udgave:
  • 22005
  • Størrelse:
  • 157x235x23 mm.
  • Vægt:
  • 656 g.
  • 8-11 hverdage.
  • 16. januar 2025
Forlænget returret til d. 31. januar 2025
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Beskrivelse af Stochastic Integration and Differential Equations

Chapter 4 treats sigma martingales (important in finance theory) and gives a more comprehensive treatment of martingale representation, including both the Jacod-Yor theory and Emery's examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process).

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