Description
Book SynopsisA breakthrough approach to the theory and applications of stochastic integration The theory of stochastic integration has become an intensely studied topic in recent years, owing to its extraordinarily successful application to financial mathematics, stochastic differential equations, and more.
Trade Review"...an important tool...gives the newest results in this field...shows an important application of vector integration..." (Bulletin of the Belgian Mathematical Society, Vol 11(1), 2004)
"...it can be expected that...just like the author's 1967 volume, this book will stimulate further research on vector stochastic integration and can serve as a graduate-level reference work." (Mathematical Reviews Issue 2001h)
"Dense, detailed, comprehensive introduction. Contains...material only found before in journals..." (American Mathematical Monthly, March 2002)
"...a highly technical book." (The Mathematical Gazette, March 2002)
"The author of this important and interesting book is a well-known specialist on vector measures." (Zentralblatt Math, Vol.974, No. 24 2001)
Table of ContentsVector Integration.
The Stochastic Integral.
Martingales.
Processes with Finite Variation.
Processes with Finite Semivariation.
The Itô Formula.
Stochastic Integration in the Plane.
Two-Parameter Martingales.
Two-Parameter Processes with Finite Variation.
Two-Parameter Processes with Finite Semivariation.
References.
