随机积分导论-第2版

本书特色

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　　《随机积分导论（第2版）（英文版）》是一部可读性很强的讲述随机积分和随机微分方程的入门教程。将基本理论和应用巧妙结合，非常适合学习过概率论知识的研究生，学习随机积分。运用现代方法，随机积分的定义是为了可料被积函数和局部鞅，紧接着是连续鞅的变分公式ito变化。《随机积分导论（第2版）（英文版）》包括在布朗运动的描述、鞅的hermite多项式、feynman-kac泛函和schrodinger方程。这是第二版，讨论了cameron-martin-giranov变换，并且在*后一章引入随机微分方程和一些学生用的练习。

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目录

prefacepreface to the first editionabbreviations and symbols1. preliminaries1.1 notations and conventions1.2 measurability, lp spaces and monotone class theorems1.3 functions of bounded variation and stieltjes integrals1.4 probability space, random variables, filtration1.5 convergence, conditioning1.6 stochastic processes1.7 optional times1.8 two canonical processes1.9 martingales1.10 local martingales1.11 exercises2. definition of the stochastic integral2.1 introduction2.2 predictable sets and processes2.3 stochastic intervals2.4 measure on the predictable sets2.5 definition of the stochastic integral2.6 extension to local integrators and integrands2.7 substitution formula2.8 a sufficient condition for extendability of hz2.9 exercises3. extension of the predictable integrands3.1 introduction3.2 relationship between p, o, and adapted processes3.3 extension of the integrands3.4 a historical note3.5 exercises4. quadratic variation process4.1 introduction4.2 definition and characterization of quadratic variation4.3 properties of quadratic variation for an l2-wartingale4.4 direct definition of μm4.5 decomposition of （m）24.6 a limit theorem4.7 exercises5. the ito formula5.1 introduction5.2 one-dimensional it5 formula5.3 mutual variation process5.4 multi-dimensional it5 formula5.5 exercises……6. applications of the ito formula7. local time and tanaka’s formula8. reflected brownian motions9. generalized fro formula,change of time and measure10. stochastic differential equations

封面

书名:随机积分导论-第2版

作者:钟开莱

页数:276

定价:¥49.0

出版社:世界图书出版公司

出版日期:2014-03-01

ISBN:9787510070259

PDF电子书大小:40MB 高清扫描完整版