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

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