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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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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Add this copy of Stochastic Integration and Differential Equations to cart. $122.11, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2010 by Springer-Verlag Berlin and Heidelberg GmbH & Co. K.
Edition:
2010, Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Add this copy of Stochastic Integration and Differential Equations to cart. $122.11, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2003 by Springer.
