Stochastic integration and differential equations : a new approach

摘要: This book is quite different from others on the subject in that it presents a rapid introduction to modern semimartingale theory of stochastic integration and differential equations, without first having treat beautiful but highly technical "general processes". The author's new approach (based theorem Bitcheler-Dellacherie) also give more intuitive understanding subject, permits proofs be much less technical. All major theorems are given, including comprehensive treatment (first time English) local times. A equations driven by semimartingales developed, Fisk-Stratonovich Markov properties, stability, an flows. Further topics presented for 1st form include elementary presentation Azema's martingale. will quickly become standard reference used specialists non-specialists alike, both sake its application.