Martingales and Stochastic Integrals

P. E. Kopp

ISBN 10: 0521247586 / ISBN 13: 9780521247580

Published by Cambridge University Press, 1984

Pages can have notes/highlighting. Spine may show signs of wear. ~ ThriftBooks: Read More, Spend Less. Seller Inventory # G0521247586I3N00

Synopsis:

This book provides an introduction to the rapidly expanding theory of stochastic integration and martingales. The treatment is close to that developed by the French school of probabilists, but is more elementary than other texts. The presentation is abstract, but largely self-contained and Dr Kopp makes fewer demands on the reader's background in probability theory than is usual. He gives a fairly full discussion of the measure theory and functional analysis needed for martingale theory, and describes the role of Brownian motion and the Poisson process as paradigm examples in the construction of abstract stochastic integrals. An appendix provides the reader with a glimpse of very recent developments in non-commutative integration theory which are of considerable importance in quantum mechanics. Thus equipped, the reader will have the necessary background to understand research in stochastic analysis. As a textbook, this account will be ideally suited to beginning graduate students in probability theory, and indeed it has evolved from such courses given at Hull University. It should also be of interest to pure mathematicians looking for a careful, yet concise introduction to martingale theory, and to physicists, engineers and economists who are finding that applications to their disciplines are becoming increasingly important.

Book Description: This book provides an introduction to the rapidly expanding theory of stochastic integration and martingales. The treatment is close to that developed by the French school of probabilists, but is more elementary than other texts. The presentation is abstract, but largely self-contained and Dr Kopp makes fewer demands on the reader's background in probability theory than is usual.

Bibliographic Details

Title: Martingales and Stochastic Integrals
Publisher: Cambridge University Press
Publication Date: 1984
Binding: Hardcover
Condition: Good
Dust Jacket Condition: No Jacket