Stochastic calculus and applications
Cohen, Samuel N.

FindBook      Google Book      Amazon      博客來     
  • Stochastic calculus and applications
  • 紀錄類型: 書目-電子資源 : Monograph/item
    正題名/作者: Stochastic calculus and applications/ by Samuel N. Cohen, Robert J. Elliott.
    作者: Cohen, Samuel N.
    其他作者: Elliott, Robert J.
    出版者: New York, NY :Springer New York : : 2015.,
    面頁冊數: xxiii, 666 p. :ill., digital ;24 cm.
    內容註: 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.
    Contained By: Springer eBooks
    標題: Stochastic analysis. -
    電子資源: http://dx.doi.org/10.1007/978-1-4939-2867-5
    ISBN: 9781493928675
館藏地:  出版年:  卷號: 
館藏
  • 1 筆 • 頁數 1 •
 
W9275044 電子資源 11.線上閱覽_V 電子書 EB QA274.2 .C678 2015 一般使用(Normal) 在架 0
  • 1 筆 • 頁數 1 •
多媒體
評論
Export
取書館
 
 
變更密碼
登入