A model to be followed 3

Stochastic Integration Theory. First Edition

November 23, 2007

This graduate-level text covering the theory of stochastic integration presents the associated theory (martingales, Levy processes) and important examples (Brownian motion, Poisson process).

Who is it for? Graduate students and researchers in mathematics, statistics, probability, mathematical finance and economics.

Presentation: The text is clearly laid out in a "lemma-theorem-proof" rigorous style. This makes it mathematically very clear, but less easy for non-mathematicians. There is also a companion website.

Would you recommend it? This is a graduate text and could not really be used for a UK undergraduate course. It would probably be used as a textbook by a postgraduate researcher keen to learn the underlying theoretical aspects of stochastic analysis. Non-experts in the field might use it as a source book when necessary, but would have to turn to other texts for the application of the subject to mathematical finance and economics.

Chris Howls is senior lecturer in applied mathematics at Southampton University.

Stochastic Integration Theory. First Edition

Author - Peter Medvegyev
Publisher - Oxford University Press
Pages - 628
Price - £45.00
ISBN - 9780199215256

You've reached your article limit

Register to continue

Registration is free and only takes a moment. Once registered you can read a total of 6 articles each month, plus:

  • Sign up for the editor's highlights
  • Receive World University Rankings news first
  • Get job alerts, shortlist jobs and save job searches
  • Participate in reader discussions and post comments

Have your say

Log in or register to post comments

Most Commented

Home secretary says government will support 'best' universities

Man handing microphone to audience member

Academic attainment of disadvantaged students can be improved if they can decide how they are assessed, study claims

Woman drinking tea from saucer

Plugging a multibillion-pound deficit exacerbated by June’s poll result may require ‘drastic measures’, analysts have warned

Italy's gold medallist

New measures to ensure universities are ‘not penalised’ for taking poorer students also outlined for next stage of TEF

Classroom, school

Higher education institutions can and should do more to influence education at a secondary school level, says Edward Peck