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  • Rajeeva L. Karandikar; B. V. Rao
    978-981-10-8318-1
    2018
    Edition 1
    • Discusses quadratic variation of a square integrable martingale, pathwise formulae for the stochastic integral, Emery topology, and sigma-martingales
    • Uses the technique of random time change to study the solution of a stochastic differential equation (SDE) driven by continuous semi-martingales
    • Studies the predictable increasing process to introduce predictable stopping times and to prove the Doob–Meyer decomposition theorem
    • Gives an extensive treatment of representation of martingales as stochastic integrals
    • Is useful for a two-semester graduate-level course on measure-theoretic probability

    €419

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