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

Link

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

Cited by

2 citations across 2 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.

Verification

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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