In this book, the definition of conditional expectations is slightly different than what is usually found in other textbooks. For the Doob–Meyer decomposition theorem, only square integrable submartingales are considered, and only elementary facts of the square integrable functions are used in the proof. In shastic differential equations, the Euler–Maruyama approximation is used mainly to prove the uniqueness of martingale problems and the smoothness of solutions of shastic differential equations.
In this book, the definition of conditional expectations is slightly different than what is usually found in other textbooks. For the Doob–Meyer decomposition theorem, only square integrable submartingales are considered, and only elementary facts of the square integrable functions are used in the proof. In shastic differential equations, the Euler–Maruyama approximation is used mainly to prove the uniqueness of martingale problems and the smoothness of solutions of shastic differential equations.
![Stochastic Analysis](http://vs-images.bn-web.com/static/redesign/srcs/images/grey-box.png?v11.11.4)
Stochastic Analysis
218![Stochastic Analysis](http://vs-images.bn-web.com/static/redesign/srcs/images/grey-box.png?v11.11.4)
Stochastic Analysis
218Paperback(1st ed. 2020)
Product Details
ISBN-13: | 9789811588662 |
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Publisher: | Springer Nature Singapore |
Publication date: | 10/20/2020 |
Series: | Monographs in Mathematical Economics , #3 |
Edition description: | 1st ed. 2020 |
Pages: | 218 |
Product dimensions: | 6.10(w) x 9.25(h) x (d) |