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Ordinary differential equations --- Stochastic processes --- Differentiaalvergelijkingen [Stochastische ] --- Equations differentielles stochastiques --- Integralen [Stochastische ] --- Integrales stochastiques --- Integrals [Stochastic ] --- Martingalen (Wiskunde) --- Martingales (Mathematics) --- Martingales (Mathematiques) --- Stochastic differential equations --- Stochastic integrals --- Martingales (Mathématiques) --- Equations différentielles stochastiques --- 519.217 --- Markov processes --- 519.217 Markov processes --- Martingales (Mathématiques) --- Equations différentielles stochastiques --- Differential equations --- Fokker-Planck equation --- Integrals, Stochastic --- Stochastic analysis

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Stochastic processes --- Martingales (Mathematics) --- Decomposition (Mathematics) --- 519.216 --- Stochastic integrals --- #WWIS:STAT --- Integrals, Stochastic --- Stochastic analysis --- Mathematics --- Probabilities --- Stochastic processes in general. Prediction theory. Stopping times. Martingales --- 519.216 Stochastic processes in general. Prediction theory. Stopping times. Martingales

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Stochastic processes --- Martingales (Mathematics) --- 519.216 --- Stochastic integrals --- Integrals, Stochastic --- Stochastic analysis --- Stochastic processes in general. Prediction theory. Stopping times. Martingales --- Stochastic integrals. --- Martingales (Mathématiques) --- Martingales (Mathematics). --- 519.216 Stochastic processes in general. Prediction theory. Stopping times. Martingales --- Martingales (Mathématiques)

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It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts on the same subject have been published, often with connections to applications, especially mathematical finance. Yet in spite of the apparent simplicity of approach, none of these books has used the functional analytic method of presenting semimartingales and stochastic integration. Thus a 2nd edition seems worthwhile and timely, though it is no longer appropriate to call it "a new approach". The new edition has several significant changes, most prominently the addition of exercises for solution. These are intended to supplement the text, but lemmas needed in a proof are never relegated to the exercises. Many of the exercises have been tested by graduate students at Purdue and Cornell Universities. Chapter 3 has been completely redone, with a new, more intuitive and simultaneously elementary proof of the fundamental Doob-Meyer decomposition theorem, the more general version of the Girsanov theorem due to Lenglart, the Kazamaki-Novikov criteria for exponential local martingales to be martingales, and a modern treatment of compensators. 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 Emeryâ¬(tm)s examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process). New topics added include an introduction to the theory of the expansion of filtrations, a treatment of the Fefferman martingale inequality, and that the dual space of the martingale space H^1 can be identified with BMO martingales. Solutions to selected exercises are available at the web site of the author, with current URL http://www.orie.cornell.edu/~protter/books.html.

Martingales (Mathematics) --- Stochastic differential equations --- Stochastic differential equations. --- Stochastic integrals. --- Martingales (Mathematics). --- Stochastic integrals --- Integrals, Stochastic --- Ordinary differential equations --- Stochastic processes --- 519.2 --- 305.91 --- AA / International- internationaal --- Differential equations --- Fokker-Planck equation --- Stochastic analysis --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Probabilities. --- Mathematical analysis. --- Analysis (Mathematics). --- Partial differential equations. --- Applied mathematics. --- Engineering mathematics. --- Probability Theory and Stochastic Processes. --- Analysis. --- Partial Differential Equations. --- Mathematical and Computational Engineering. --- Engineering --- Engineering analysis --- Mathematical analysis --- Partial differential equations --- 517.1 Mathematical analysis --- Probability --- Statistical inference --- Combinations --- Mathematics --- Chance --- Least squares --- Mathematical statistics --- Risk --- Anàlisi estocàstica --- Anàlisi matemàtica --- Processos estocàstics --- Càlcul de Malliavin --- Equacions integrals estocàstiques --- Integrals estocàstiques