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Stochastic Integration and Differential Equations
- Language:
- English
- ISBN:
- 9783642055607
- Binding:
- Paperback
- Pages:
- 415
- Published:
- November 30, 2010
- Edition:
- 22005
- Dimensions:
- 157x235x23 mm.
- Weight:
- 656 g.
Delivery:
2-4 weeks
Expected delivery: January 25, 2025
Extended return policy to January 30, 2025
Description of 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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