Stochastic Integration and Differential Equations

Protter, P. E. (2005). Stochastic Integration and Differential Equations. Springer.

Type

Book

Intellectual base

Review or monograph

Year

2005

DOI

10.1007/978-3-662-10061-5

ISBN

9783642055607

DOI registrant

Springer Nature

Link

https://doi.org/10.1007/978-3-662-10061-5

Cited by

4 citations across 4 artifacts.

Each citation links to the sentence it supports in the citing article.

Domain-specific

• Doléans–Dade Exponential
  • The semimartingale hypothesis is the home habitat: it supplies stochastic integration, quadratic variation, and a controlled jump calculus.

    This sourceModern technical reference for semimartingales, stochastic exponentials, linear SDEs, and change of measure.

• Doob Decomposition Theorem
  • The continuous theorem requires additional path and regularity conditions and constructs a predictable finite-variation compensator for appropriate submartingales; discrete time avoids much of that analytic machinery.
• Local martingale
  • … conditions, adapted process and path class, localizing stopping times and limit, stopped processes, martingale and integrability properties and whether the process is strict or true are explicit. to An applied instance preserves the invariant under changed notation, scale, dataset, jurisdiction, or implementation..
• Progressively measurable process
  • … status, filtration and usual conditions, state measurable space, time index, process map, restricted product sigma-algebra for every t and consequences for stopping or integration are explicit. to An applied instance preserves the same invariant under changed scale, notation, jurisdiction, dataset, or implementation..

Verification

Does it exist? Confirmed. This work's DOI resolves to a registered record, which fixes its identity. That is all it fixes.

Does it back the claim? Not recorded. Neither this nor any other of the 4 citations of this work carries a recorded support check.

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Links previously used in the corpus

Before the registry existed this work was also linked 1 other way.

• https://link.springer.com/book/10.1007/978-3-662-10061-5 ×1

Registry ID ref:28ba5ce1be11 · see in the full table