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Stochastic Calculus and Applications


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Table of Contents

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.

About the Author

Samuel N. Cohen is an Associate Professor in the Mathematical Institute at the University of Oxford, an associate member of the Oxford-Man Institute for Quantitative Finance and a member of the Oxford-Nie Financial Big Data Laboratory. He has a Ph.D. in Mathematics from the University of Adelaide, along with undergraduate degrees in Mathematics and Finance.Robert Elliott received Bachelors and Masters degrees from Oxford University, and his Ph.D. and D.Sc. from the University of Cambridge. He has held positions at Newcastle, Yale, Oxford, Warwick, Hull, Alberta, Calgary and Adelaide, and visiting positions in Toronto, Northwestern, Kentucky, Brown, Paris, Denmark, Hong Kong and Australia. From 2001 to 2009 he was the RBC Financial Group Professor of Finance at the University of Calgary, Canada, where he was also an Adjunct Professor in both the Department of Mathematics and the Department of Electrical Engineering. From 2009 to 2013 he was an Australian Professorial Fellow at the University of Adelaide. Professor Elliott has authored nine books and over 450 papers.


"As supplementary reading for a second course or as s comprehensive (!) resource for the general theory of processes aimed at Ph. D. students and scholars, this second edition will stay a valuable resource." (Rene L. Schilling, Mathematical Reviews, October, 2016)"This is a fundamental book in modern stochastic calculus and its applications: rich contents, well structured material, comprehensive coverage of all significant results given with complete proofs and well illustrated by examples, carefully written text. Hence, there are more than enough reasons to strongly recommend the book to a wide audience. Among them, there are good and motivated graduate university students. ... Also, the book is an excellent reference book." (Jordan M. Stoyanov, zbMATH 1338.60001, 2016)

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