A Course of Stochastic Analysis
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A Course of Stochastic AnalysisAuthor(s): Alexander Melnikov\nFormat: Hardback\nPublisher: Springer Nature Switzerland AG, Switzerland\nImprint: Springer Nature Switzerland AG\nISBN-13: 9783032204813, 978-3032204813\nSynopsis\nThis thoroughly updated second edition offers a unified, modern pathway from the Kolmogorov foundations of probability to the tools of stochastic calculusand on to applications in finance, statistics, and risk. With clarity and breadth, it develops martingale and semimartingale theory alongside stochastic differential equations, keeping both discrete- and continuous-time viewpoints in play.\n\nWhats new in the 2nd Edition\n\nOptional Stochastic Analysis on non-usual filtrations: the first textbook presentation of optional processes on stochastic bases beyond the standard right-continuous, complete setting, with an accompanying optional stochastic calculus.\nOptional SDEs and stochastic exponentials/logarithms: existence-uniqueness theory and product/inverse rul.
A Course of Stochastic Analysis
A Course of Stochastic AnalysisAuthor(s): Alexander Melnikov\nFormat: Hardback\nPublisher: Springer Nature Switzerland AG, Switzerland\nImprint: Springer Nature Switzerland AG\nISBN-13: 9783032204813, 978-3032204813\nSynopsis\nThis thoroughly updated second edition offers a unified, modern pathway from the Kolmogorov foundations of probability to the tools of stochastic calculusand on to applications in finance, statistics, and risk. With clarity and breadth, it develops martingale and semimartingale theory alongside stochastic differential equations, keeping both discrete- and continuous-time viewpoints in play.\n\nWhats new in the 2nd Edition\n\nOptional Stochastic Analysis on non-usual filtrations: the first textbook presentation of optional processes on stochastic bases beyond the standard right-continuous, complete setting, with an accompanying optional stochastic calculus.\nOptional SDEs and stochastic exponentials/logarithms: existence-uniqueness theory and product/inverse rul.
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