|
Book Review
The AMS does not provide abstracts of book reviews.
You may download the entire review from the links below.
Retrieve article in:
PDF
Book Information
Author(s):
A. U. Kussmaul
Title:
Stochastic integration and generalized martingales
Additional book information:
Pitman Publishing, London, San Francisco, Melbourne, 1977, 163 pp., $14.00
References:
- 1.
- L. Arnold, Stochastic differential equations: theory and applications, Wiley, New York, 1974. MR 443083
- 2.
- L. Bachelier, Théorie de la spéculation, Ann. Sci. École Norm. Sup. 17 (1900), 21-86. MR 1508978
- 3.
- C. Dellacherie, Capacités et processus stochastiques, Springer-Verlag, Berlin and New York, 1972. MR 448504
- 4.
- C. Doléans-Dade, Quelques applications de la formule de changement de variables pour les semimartingales, Z. Wahrscheinlichkeitstheorie und Verw. Gebiete 16 (1970), 181-194. MR 283883
- 5.
- C. Doléans-Dade and P. A. Meyer, Intégrales stochastiques par rapport aux martingales locales, Lecture Notes in Math., vol. 124, Springer-Verlag, Berlin and New York, 1970, pp. 77-107. MR 270425
- 6.
- J. L. Doob, Stochastic processes, Wiley, New York, 1953. MR 58896
- 7.
- A. Einstein, On the movement of small particles suspended in a stationary liquid demanded by the molecular-kinetic theory of heat, Ann. Physik 17 (1905), 549-560; English Transl., Investigations on the theory of the Brownian movement, Methuen, London, 1926.
- 8.
- L. I. Galčuk, The structure of a class of martingales, Proceedings of the School-Seminar on the Theory of Random Processes, (Druskininkai), Lithuanian SSR 1 (1974), 9-33. MR 410905
- 9.
- K. Itô, Stochastic integral, Proc. Japan Acad. 20 (1944), 519-524. MR 14633
- 10.
- H. Kunita, Stochastic integrals based on martingales taking values in Hilbert space, Nagoya Math. J. 38 (1970), 41-52. MR 264754
- 11.
- H. Kunita and S. Watanabe, On square integrable martingales, Nagoya Math. J. 30 (1967), 209-245. MR 217856
- 12.
- E. J. McShane, Stochastic calculus and stochastic models, Academic Press, New York, 1977. MR 443084
- 13.
- E. J. McShane, Stochastic differential equations, J. Multivariate Anal. 5 (1975), 121-177. MR 373006
- 14.
- M. Metivier, The stochastic integral with respect to processes with values in a reflexive Banach space, Theor. Probability 19 (1974), 758-787.
- 15.
- M. Metivier and G. Pistone, Une formule d'isométrie pour l'intégrale stochastique Hilbertienne et équations d'évolution linéaires stochastiques, Z. Wahrscheinlichkeitstheorie und Verw. Gebiete 33 (1975), 1-18. MR 383527
- 16.
- P. A. Meyer, A decomposition theorem for supermartingales, Illinois J. Math. 6 (1962), 193-205. MR 159359
- 17.
- P. A. Meyer, Intégrales stochastiques. IV, Lecture Notes in Math., vol. 39, Springer-Verlag, Berlin and New York, 1967, pp. 142-162. MR 231445
- 18.
- P. A. Meyer, Un cours sur les intégrales stochastiques, Lecture Notes in Math., vol. 511, Springer-Verlag, Berlin and New York, 1976, pp. 245-400. MR 501332
- 19.
- P. A. Meyer, Intégrales Hilbertiennes, Lecture Notes in Math., vol. 581, Springer-Verlag, Berlin and New York, 1977, pp. 446-461. MR 501333
- 20.
- R. E. A. C. Paley, N. Wiener and A. Zygmund, Notes on random functions, Math. Z. 37 (1933), 647-668. MR 1545426
- 21.
- J. Pellaumail, Sur l'intégrale stochastique et la décomposition de Doob-Meyer, Asterique 9 (1973), 1-125. MR 339333
- 22.
- P. E. Protter, Markov solutions of stochastic differential equations, Z. Wahrscheinlichkeitstheorie und Verw. Gebiete 41 (1977), 39-58. MR 477420
- 23.
- P. E. Protter, A comparison of stochastic integrals, Ann. Probability (to appear).
- 24.
- R. L. Stratonovich, A new representation for stochastic integrals and equations, SIAM. J. Control 4 (1966), 362-371. MR 196814
- 25.
- N. Wiener, Differential-space, J. Math. and Physics 2 (1923), 131-174.
Additional Information:
Reviewer(s):
Philip
Protter
Review Information:
Journal:
Bull. Amer. Math. Soc.
84
(1978),
1346-1351.
DOI:
10.1090/S0002-9904-1978-14572-8
PII:
S 0002-9904(1978)14572-8
|
Comments: webmaster@ams.org