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A Course of Stochastic Analysis
Hardcover
Series: Cms/Caims Books in Mathematics, Book 17
ISBN13: 9783032204813
Publisher: Springer
Published: Jun 3 2026
Pages: 292
Weight: 1.30
Height: 0.82 Width: 6.50 Depth: 9.31
Language: English
- Optional 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. Optional SDEs and stochastic exponentials/logarithms: existence-uniqueness theory and product/inverse rules, with financial modeling worked out in this optional-semimartingale framework. New applications: Stochastic Regression Analysis and Risk Theory, showing how optional tools yield estimation results and ruin-probability bounds in general settings. Expanded exercises with solutions: a substantially enlarged Supplement (Ch. 15) featuring problems that reinforce both core theory and applications.
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