随机分析及应用

出版时间:2008-9  出版社:人民邮电出版社  作者:克莱巴纳  页数:416  
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内容概要

本书介绍了随机分析的理论和应用两方面的知识。内容涉及积分和概率论的基础知识、基本的随机过程,布朗运动和伊藤过程的积分、随机微分方程、半鞅积分、纯离散过程,以及随机分析在金融、生物、工程和物理等方面的应用。书中有大量的例题和习题,并附有答案,便于读者进行深层次的学习。    本书非常适合初学者阅读,可作为高等院校经管、理工和社科类各专业高年级本科生和研究生随机分析和金融数学的教材,也可供相关领域的科研人员参考。

作者简介

Fima C Klebaner,澳夫利亚Monash(莫纳什)大学教授,IMS(国际数理统计学会)会士,著名数理统计和金融数学家。主要研究领域有:随饥过程、概率应用、随机分析、金融数学、动态系统的随机扰动等。

书籍目录

1  Preliminaries From Calculus    1.1  Functions in Calculus    1.2  Variation of a Function    1.3  Riemann Integral and Stieltjes Integral    1.4  Lebesgue’s Method of Integration    1.5  Differentials and Integrals    1.6  Taylor’s Formula and Other Results2  Concepts of Probability Theory    2.1  Discrete Probability Model    2.2  Continuous Probability Model    2.3  Expectation and Lebesgue Integral    2.4  Transforms and Convergence    2.5  Independence and Covariance    2.6  Normal (Gaussian) Distributions    2.7  Conditional Expectation    2.8  Stochastic Processes in Continuous Time3  Basic Stochastic Processes    3.1  Brownian Motion    3.2  Properties of Brownian Motion Paths    3.3  Three Martingales of Brownian Motion    3.4  Markov Property of Brownian Motion    3.5  Hitting Times and Exit Times    3.6  Maximum and Minimum of Brownian Motion     3.7  Distribution of Hitting Times    3.8  Reflection Principle and Joint Distributions    3.9  Zeros of Brownian Motion. Arcsine Law    3.10  Size of Increments of Brownian Motion    3.11  Brownian Motion in Higher Dimensions  3.12  Random Walk    3.13  Stochastic Integral in Discrete Time    3.14  Poisson Process    3.15  Exercises4  Brownian Motion Calculus    4.1  Definition of It6 Integral    4.2  Ito Integral Process    4.3  Ito Integral and Gaussian Processes    4.4  Ito’s Formula for Brownian Motion    4.5  Ito Processes and Stochastic Differentials    4.6  Ito’s Formula for It6 Processes    4.7  Ito Processes in Higher Dimensions    4.8  Exercises5  Stochastic Differential Equations    5.1  Definition of Stochastic Differential Equations    5.2  Stochastic Exponential and Logarithm    5.3  Solutions to Linear SDEs    5.4  Existence and Uniqueness of Strong Solutions    5.5  Markov Property of Solutions    5.6  Weak Solutions to SDEs    5.7  Construction of Weak Solutions    5.8  Backward and Forward Equations    5.9  Stratanovich Stochastic Calculus    5.10  Exercises6  Diffusion Processes    6.1  Martingales and Dynkin’s Formula    6.2  Calculation of Expectations and PDEs    6.3  Time Homogeneous Diffusions    6.4  Exit Times from an Interval    6.5  Representation of Solutions of ODEs    6.6  Explosion    6.7  Recurrence and Transience    6.8  Diffusion on an Interval    6.9  Stationary Distributions    6.10 Multi-Dimensional SDEs    6.11 Exercises7  Martingales    7.1  Definitions    7.2  Uniform Integrability    7.3  Martingale Convergence    7.4  Optional Stopping    7.5  Localization and Local Martingales    7.6  Quadratic Variation of Martingales    7.7  Martingale Inequalities    7.8  Continuous Martingales. Change of Time    7.9  Exercises8  Calculus For Semimartingales    8.1  Semimartingales    8.2  Predictable Processes    8.3  Doob-Meyer Decomposition    8.4  Integrals with respect to Semimartingales    8.5  Quadratic Variation and Covariation    8.6  ItS’s Formula for Continuous Semimartingales    8.7  Local Times    8.8  Stochastic Exponential    8.9  Compensators and Sharp Bracket Process    8.10  ItS’s Formula for Semimartingales    8.11  Stochastic Exponential and Logarithm    8.12  Martingale (Predictable) Representations    8.13  Elements of the General Theory    8.14  Random Measures and Canonical Decomposition    8.15  Exercises9  Pure Jump Processes    9.1  Definitions    9.2  Pure Jump Process Filtration    9.3  ItS’s Formula for Processes of Finite Variation    9.4  Counting Processes    9.5  Markov Jump Processes    9.6  Stochastic Equation for Jump Processes    9.7  Explosions in Markov Jump Processes    9.8  Exercises10  Change of Probability Measure    10.1  Change of Measure for Random Variables    10.2  Change of Measure on a General Space    10.3  Change of Measure for Processes    10.4  Change of Wiener Measure    10.5  Change of Measure for Point Processes    10.6  Likelihood Functions    10.7  Exercises11  Applications in Finance: Stock and FX Options    11.1  Financial Deriwtives and Arbitrage    11.2  A Finite Market Model    11.3  Semimartingale Market Model    11.4  Diffusion and the Black-Scholes Model    11.5  Change of Numeraire    11.6  Currency (FX) Options    11.7  Asian, Lookback and Barrier Options    11.8  Exercises12  Applications in Finance: Bonds, Rates and Option    12.1  Bonds and the Yield Curve    12.2  Models Adapted to Brownian Motion    12.3  Models Based on the Spot Rate    12.4  Merton’s Model and Vasicek’s Model    12.5  Heath-Jarrow-Morton (HJM) Model    12.6  Forward Measures. Bond as a Numeraire    12.7  Options, Caps and Floors    12.8  Brace-Gatarek-Musiela (BGM) Model    12.9  Swaps and Swaptions    12.10  Exercises13  Applications in Biology    13.1  Feller’s Branching Diffusion    13.2  Wright-Fisher Diffusion    13.3  Birth-Death Processes    13.4  Branching Processes    13.5  Stochastic Lotka-Volterra Model    13.6  Exercises14  Applications in Engineering and Physics    14.1  Filtering    14.2  Random Oscillators    14.3  ExercisesSolutions to Selected ExercisesReferencesIndex

编辑推荐

《随机分析及应用(英文版)(第2版)》是随机分析方面的名著之一。以主题广泛丰富,论述简洁易懂而又不失严密著称。书中阐述了各领域的典型应用,包括数理金融、生物学、工程学中的模型。还提供了很多示例和习题,并附有解答。第2版增加了讲述证券,利率及其期权的一章,并在全书增加了许多新内容,以反映随机分析研究和应用的最新成果。《随机分析及应用(英文版)(第2版)》可作为高年级本科生和研究生的随机分析和金融数学的教材,也非常适合各领域专业人士自学。《随机分析及应用(英文版)(第2版)》内容简洁,阐述透彻,包含丰富的例子,并有精彩解答。——Robert Liptser教授,以色列特拉维夫大学在讲述随机分析的著作中,像《随机分析及应用(英文版)(第2版)》这样涵盖广泛而又具有很强可读性的实属罕见。——Mathematical Reviews

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用户评论 (总计16条)

 
 

  •     这本书的定理很多,有很多定理或引理是没有给出详细论证过程的,但对于随机分析的学习很有帮助。
  •     很好的书,首先不是抽象的,适合非数学专业的人学习。此外,对于随机微积分的思想有清晰的阐述。
  •     书真的是好书,得仔细地看。。
  •     很快到货,书也不错
  •     不错的课本,比原来学的看起来好。
  •     有用,送得也快!!
  •     此书应该是随机分析的入门书,写的简单明了。不过不够数学。
  •     这本书比较简单比布朗运动和随机计算要简单一些。
  •     正文还没看,但印刷质量有点差
  •     建议初学者还是买Introduction之类的书籍比较好,这本适合有一定基础的。
  •     连老师们开讨论班都用它!
  •     纸张有些白就是 大体上还可以
  •     纸质很好,也没什么印刷错误
  •     条理很清楚,但更多的是介绍公理,了解建模和求解的同志请出门右转~
  •     经典,写的很流畅,看起来不是很难,而且原理解释透彻,随机思想传达的很好.
  •     很流畅的一本书……适合开始这门课程或自学。
 

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