Cohen, Samuel N, <br/><br/>
Stochastic calculus and applications / 
Samuel N. Cohen, Robert J. Elliott. 
 - 2nd ed. 2015. 
 - xxiii, 666 páginas :  17 ilustraciones 
 - Probability and Its Applications,  2297-0371 .
<br/><br/> Springer eBooks 
<br/><br/>Part I: Measure Theoretic Probability -- Measure Integral -- Probabilities and Expectation -- Part II: Stochastic Processes -- Filtrations, Stopping Times and Stochastic Processes -- Martingales in Discrete Time -- Martingales in Continuous Time -- The Classification of Stopping Times -- The Progressive, Optional and Predicable -Algebras -- Part III: Stochastic Integration -- Processes of Finite Variation -- The Doob-Meyer Decomposition -- The Structure of Square Integrable Martingales -- Quadratic Variation and Semimartingales -- The Stochastic Integral -- Random Measures -- Part IV: Stochastic Differential Equations -- Ito's Differential Rule -- The Exponential Formula and Girsanov's Theorem -- Lipschitz Stochastic Differential Equations -- Markov Properties of SDEs -- Weak Solutions of SDEs -- Backward Stochastic Differential Equations -- Part V: Applications -- Control of a Single Jump -- Optimal Control of Drifts and Jump Rates -- Filtering. Part VI: Appendices. 
<br/><br/><label>ISBN: </label>9781493928675 
<br/><br/><label>LC Class. No.: </label>QA273.A1-274.9