It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts on the same subject have been published, often with connections to applications, especially mathematical finance. Yet in spite of the apparent simplicity of approach, none of these books has used the functional analytic method of presenting semimartingales and stochastic integration. Thus a 2nd edition seems worthwhile and timely, though it is no longer appropriate to call it "a new approach". The new edition has several significant changes, most prominently the addition of exercises for solution. These are intended to supplement the text, but lemmas needed in a proof are never relegated to the exercises. Many of the exercises have been tested by graduate students at Purdue and Cornell Universities. Chapter 3 has been completely redone, with a new, more intuitive and simultaneously elementary proof of the fundamental Doob-Meyer decomposition theorem, the more general version of the Girsanov theorem due to Lenglart, the Kazamaki-Novikov criteria for exponential local martingales to be martingales, and a modern treatment of compensators. Chapter 4 treats sigma martingales (important in finance theory) and gives a more comprehensive treatment of martingale representation, including both the Jacod-Yor theory and Emery’s examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process). New topics added include an introduction to the theory of the expansion of filtrations, a treatment of the Fefferman martingale inequality, and that the dual space of the martingale space H^1 can be identified with BMO martingales. Solutions to selected exercises are available at the web site of the author, with current URL http://www.orie.cornell.edu/~protter/books.html.
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Editorial Reviews
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From the reviews of the second edition: "A fast and nice introduction to semimartingales and stochastic integration … . The second edition of the book has a number of changes and new topics … . The book is highly recommendable for graduate students and experts alike. It is a pleasure to read, with many examples, and all arguments are presented clearly and with care. This book can equally well serve as a course on stochastic calculus as well as an excellent reference material." (Prof. Dr. M. Vanmaele, KWANT METHODEN, 2004) "It has been well over a decade … . the second edition, particularly since the book itself has by now become a well-known and often-used classic. … While the second edition follows the outline and content of the first edition quite closely … . The book is carefully written and well presented and covers the topics of stochastic integration … . The changes and additions have served to make this now classic "new approach" only a more attractive and comprehensive entry point … ." (Anja Sturm, SIAM Review Vol. 47(1), 2005) "As anyone who has taught or attended a course on Stochastic calculus knows, one of the most difficult aspect of the theme is absence of exercises in the books on the topic. The second edition of this book comes to the rescue. Each chapter has exercises which should help instructors and students alike. … This book would serve as a good text for a course on stochastic calculus. At the same time, it is also a good reference book." (Rajeeva L. Karandikar, Sankhya: The Indian Journal of Statistics, Vol. 66 (1), 2004) "In this new edition several changes have been made; most of them are inclusions of results obtained since the appearance of the first edition … . addition is exercises, to be found at the end of each chapter. Altogether I agree with the previous reviewer … the book provides an excellent basis for lecturing or self teaching." (Evelyn Buckwar, Mathematical Reviews, Issue 2005 k)
From the Back Cover
It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts on the same subject have been published, often with connections to applications, especially mathematical finance. Yet in spite of the apparent simplicity of approach, none of these books has used the functional analytic method of presenting semimartingales and stochastic integration. Thus a 2nd edition seems worthwhile and timely, though it is no longer appropriate to call it "a new approach". The new edition has several significant changes, most prominently the addition of exercises for solution. These are intended to supplement the text, but lemmas needed in a proof are never relegated to the exercises. Many of the exercises have been tested by graduate students at Purdue and Cornell Universities. Chapter 3 has been completely redone, with a new, more intuitive and simultaneously elementary proof of the fundamental Doob-Meyer decomposition theorem, the more general version of the Girsanov theorem due to Lenglart, the Kazamaki-Novikov criteria for exponential local martingales to be martingales, and a modern treatment of compensators. Chapter 4 treats sigma martingales (important in finance theory) and gives a more comprehensive treatment of martingale representation, including both the Jacod-Yor theory and Emeryâ¬(tm)s examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process). New topics added include an introduction to the theory of the expansion of filtrations, a treatment of the Fefferman martingale inequality, and that the dual space of the martingale space H^1 can be identified with BMO martingales. Solutions to selected exercises are available at the web site of the author, with current URL http://www.orie.cornell.edu/~protter/books.html.
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8 of 8 people found the following review helpful:
5.0 out of 5 stars
Very good textbook,
By PST "A Reader from Germany" (Eislingen Deutschland) - See all my reviews
This review is from: Stochastic Integration and Differential Equations (Hardcover)
This book covers EXACTLY what the title promises. The approach to stochastic integration is a bit different from other books I have read, but very intuitive, general and understandable.
The proofs of the theorems are generally quite easy to understand, but do not lack rigor at all - quite the opposite. The prerequisites in probability theory are quite modest, however some understanding of measure theory (at least on an intuitive level) is helpful. Some knowledge of stochastic processes (such as maertingales...) also facilitates the reading of the book. Overall, it is quite amazing how Prof. Protter manages to explain deep subjects rigorously, yet very understandably! The book contains a "normal" amount of typos, but almost all are harmless - they do not affect the understanding at all. The only draw-back to the serious researcher might be the large number of French language references.
3 of 15 people found the following review helpful:
1.0 out of 5 stars
Received a cheaper knock-off printing,
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This review is from: Stochastic Integration and Differential Equations (Hardcover)
This review is about the material quality of the printing in the copy I received. This is not about the content.
I have access to a copy of this second edition (third corrected printing, 2005) in my office. It is the usual Springer high quality hardcover: it has a matte cover with texture, beautifully bound; the paper inside is high-quality, very soft and slightly off-white; and the printing of the text is very sharp. The version I received from Amazon claimed to be exactly the same, but was very different: - The hardcover was shiny, did not have texture, and had a natural tendency to bend strongly outwards; - The paper inside is whiter, horribly white; - The text printing looks like a photocopy of the original. It looks and feels like a cheap knock-off photocopy done in a backyard. They didn't even bother changing the information about the printing including the 'Printed in Germany' and 'Printed on acid-free paper'. When I pay a lot of money for a hardcover edition I want the real thing, not a cheap knock-off. I returned mine.
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Inside This Book
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First Sentence:
In this book we present a new approach to the theory of modern stochastic integration. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
sigma martingale, expanded filtration, classical semimartingale, start ingale, locally square integrable local martingale, semimartingale topology, completed natural filtration, integrable variation, totally inaccessible stopping time, finite quadratic variation, usual hypotheses, announcing sequence, filtered probability space satisfying, filt rat ion, simple predictable processes, càdlàg paths, càdlàg version, càdlàg process, bounded jumps, stopping tithes, integrable martingale, continuous local martingale, predictable stopping time, optional projection, mart ingale Key Phrases - Capitalized Phrases (CAPs): (learn more)
Dominated Convergence Theorem, Monotone Class Theorem, Fubini's Theorem, Fundamental Theorem of Local Martingales, Lévy's Theorem, Optional Sampling Theorem, Stricker's Theorem, Proof Let, Bichteler-Dellacherie Theorem, Fatou's Lemma, Proof of Lemma, Rao's Theorem, Girsanov-Meyer Theorem, Hadamard's Theorem, Jacod's Countable Expansion, Kolmogorov's Lemma, Meyer's Theorem, Use Exercise New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
In this book we present a new approach to the theory of modern stochastic integration. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
sigma martingale, expanded filtration, classical semimartingale, start ingale, locally square integrable local martingale, semimartingale topology, completed natural filtration, integrable variation, totally inaccessible stopping time, finite quadratic variation, usual hypotheses, announcing sequence, filtered probability space satisfying, filt rat ion, simple predictable processes, càdlàg paths, càdlàg version, càdlàg process, bounded jumps, stopping tithes, integrable martingale, continuous local martingale, predictable stopping time, optional projection, mart ingale Key Phrases - Capitalized Phrases (CAPs): (learn more)
Dominated Convergence Theorem, Monotone Class Theorem, Fubini's Theorem, Fundamental Theorem of Local Martingales, Lévy's Theorem, Optional Sampling Theorem, Stricker's Theorem, Proof Let, Bichteler-Dellacherie Theorem, Fatou's Lemma, Proof of Lemma, Rao's Theorem, Girsanov-Meyer Theorem, Hadamard's Theorem, Jacod's Countable Expansion, Kolmogorov's Lemma, Meyer's Theorem, Use Exercise New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 74
books:
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100
books
cite this book:
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- Stochastic Differential Equations 1976: Kyoto: International Symposium Proceedings by Kiyosi Ito on page 298, and Back Matter
- Stochastic calculus and applications (Applications of mathematics 18) by R. J. Elliott in Front Matter, and Back Matter
- Introduction to Stochastic Networks (Stochastic Modelling and Applied Probability) by Richard Serfozo in Back Matter
- Stochastic Integration and Generalized Martingales (Research notes in mathematics) by A.U. Kussmaul in Back Matter
- Stochastic Differential Equations (Siam-Ams Proceedings Ser .: No 6) by N. Y.) Symposium in Applied Mathematics (1972 New York in Back Matter
See all 74 books this book cites
- Levy Processes by Ole Eiler Barndorff-Nielsen on 5 pages
- Séminaire de Probabilités 1967-1980: A Selection in Martingale Theory (Lecture Notes in Mathematics / Séminaire de Probabilités) (French and English Edition) by Michel Emery in Front Matter, page 7, and page 8
- Statistics of Random Processes II by Robert S. Liptser in Front Matter, and Back Matter
- Equity Hybrid Derivatives (Wiley Finance) by Marcus Overhaus in Back Matter (1), and Back Matter (2)
- Financial Mathematics: Lectures given at the 3rd Session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in Bressanone, Italy, July ... Mathematics / C.I.M.E. Foundation Subseries) by Bruno Biais on page 121, and page 190
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