Stochastic Integration Theory

Péter Medvegyev

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Stochastic processes and financial applications Probability and Statistical Research Fuzzy Systems and Optimization

Abstract

Abstract This graduate level text covers the theory of stochastic integration, an important area of Mathematics that has a wide range of applications, including financial mathematics and signal processing. Aimed at graduate students in Mathematics, Statistics, Probability, Mathematical Finance, and Economics, the book not only covers the theory of the stochastic integral in great depth but also presents the associated theory (martingales, Levy processes) and important examples (Brownian motion, Poisson process).

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2013On Exponential Functionals of Lévy Processes

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