Stochastic Integration and Differential Equations - Philip Protter - Books - Springer-Verlag Berlin and Heidelberg Gm - 9783540003137 - October 7, 2003
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Philip Protter
Stochastic Integration and Differential Equations 2nd Corrected ed. 2005. Corr. 2nd printing 2005 edition

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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).

415 pages, biography

Media Books     Book
Released October 7, 2003
ISBN13 9783540003137
Publishers Springer-Verlag Berlin and Heidelberg Gm
Pages 415
Dimensions 148 × 228 × 23 mm   ·   748 g
Language English   German  

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