Stochastic Integration and Differential Equations (Hardcover)

by Philip E. Protter (Author) "In this book we present a new approach to the theory of modern stochastic integration..." (more)
Key Phrases: sigma martingale, expanded filtration, classical semimartingale, Dominated Convergence Theorem, Monotone Class Theorem, Fubini's Theorem (more...)

Editorial Reviews

Review
From the reviews of the second edition:

"A fast and nice introduction to semimartingales and stochastic integration a ] . The second edition of the book has a number of changes and new topics a ] . 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 a ] . the second edition, particularly since the book itself has by now become a well-known and often-used classic. a ] While the second edition follows the outline and content of the first edition quite closely a ] . The book is carefully written and well presented and covers the topics of stochastic integration a ] . The changes and additions have served to make this now classic "new approach" only a more attractive and comprehensive entry point a ] ." (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. a ] 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 sincethe appearance of the first edition a ] . addition is exercises, to be found at the end of each chapter. Altogether I agree with the previous reviewer a ] the book provides an excellent basis for lecturing or self teaching." (Evelyn Buckwar, Mathematical Reviews, Issue 2005 k)

Product Description
It has been 13 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 we will no longer 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. Chap. 3 has been nearly 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. Chap. 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, and an elementary treatment of the Burkholder-Gundy-Fefferman martingale inequalities. Last, there are of course small changes throughout the book.

Product Details

• Hardcover: 302 pages
• Publisher: Springer; 2nd edition (May 24, 2005)
• Language: English
• ISBN-10: 3540003134
• ISBN-13: 978-3540003137
• Product Dimensions: 9.4 x 6.3 x 1.1 inches
• Shipping Weight: 1.7 pounds (View shipping rates and policies)
• Average Customer Review: 5.0 out of 5 stars See all reviews (1 customer review)
• Amazon.com Sales Rank: #234,177 in Books (See Bestsellers in Books)

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Customer Reviews

Most Helpful Customer Reviews

2 of 2 people found the following review helpful:

5.0 out of 5 stars Very good textbook, March 28, 2009

By	PST "A Reader from Germany" (Eislingen Deutschland) - See all my reviews

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.