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
Register

Have your say

Log in or register to post comments

Featured Jobs

Research Associate - Parlours of Wonder UNIVERSITY OF BRISTOL (MAIN OFFICE)
Administrative Assistant UNIVERSITY OF BRISTOL (MAIN OFFICE)
Teaching Fellow in Primary Care UNIVERSITY OF BRISTOL (MAIN OFFICE)

Most Commented

James Fryer illustration (8 September 2016)

Some lecturers will rightly encourage forms of student interaction that are impossible for those covering their faces, Eric Heinze argues

University of Oxford students walking on campus

University of Oxford snatches top spot from Caltech in this year’s World University Rankings as Asia’s rise continues

Handwritten essay on table

Universities must pay more attention to the difficulties faced by students, says Daniel Dennehy

Theresa May entering 10 Downing Street, London

The prospect of new grammar schools on the horizon raises big questions for HE, writes Nick Hillman

Nosey man outside window

Head of UK admissions service Mary Curnock Cook addresses concerns that universities might ‘not hear a word’ from applicants