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Catalogue Information
Field name	Details
Dewey Class	519.2
Title	Stochastic integration and differential equations : a new approach / Philip Protter
Title	(M)
Author	Protter, Philip E. , 1949-
Edition statement	2nd corr. printing
Publication	Berlin : Springer-Verlag , 1992
Physical Details	x, 302 pages ; 24 cm.
Series	Applications of mathematics ; 21
ISBN	3-540-50996-8
Summary Note	This book is quite different from others on the subject in that it presents a rapid introduction to the modern semimartingale theory of stochastic integration and differential equations, without first having to treat the beautiful but highly technical "general theory of processes". The author's new approach (based on the theorem of Bitcheler-Dellacherie) also give a more intuitive understanding of the subject, and permits proofs to be much less technical. All of the major theorems of stochastic integration are given, including a comprehensive treatment (first time in English) of local times. A theory of stochastic differential equations driven by semimartingales is developed, including Fisk-Stratonovich equations, Markov properties, stability, and an introduction to the theory of flows. Further topics presented for the 1st time in book form include an elementary presentation of Azema's martingale. This book will quickly become a standard reference on the subject, to be used by specialists and non-specialists alike, both for the sake of the theory and for its application.:
Links to Related Works	Subject References: Martingales (Mathematics) . Stochastic differential equations . Stochastic integrals . Authors: Protter, Philip E. 1949- . Series: Applications of mathematics . Classification: 519.2 . 519.2 (DDC 20) .

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Barcode	Shelf Location	Collection	Volume Ref.	Branch	Status	Due Date
00000000035675	517.955 PRO	General		SISSA- .	. Available .

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