《隨機分析及其套用（第3版）》是2018年世界圖書出版公司出版的著作，作者是[澳] F.，C.，克萊巴納。
基本介紹
- 中文名：《隨機分析及其套用（第3版）》
- 作者：[澳] F.，C.，克萊巴納
- 出版時間：2018年08月01日
- 出版社：世界圖書出版公司
- ISBN：9787519244644
內容簡介,作者簡介,目錄,
內容簡介
本書是隨機分析方面的名著之一。以主題廣泛豐富，論述簡潔易懂而又不失嚴密著稱。書中闡述了各領域的典型套用，包括數理金融、生物學、工程學中的模型。還提供了很多示例和習題，並附有解答。讀者對象：數學分析及金融數學專業的高年級本科生，研究生和研究人員。
作者簡介
Fima C. Klebaner （F. C. 克萊巴納）是世界百強名校，澳大利亞學府，莫納什大學（Monash University）知名教授。
目錄
Preface
1.Preliminaries From Calculus
1.1 Fhnctions 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 Results
2.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 Time
3.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 Exercises
4.Brownian Motion Calculus
4.1 Definition of It5 Integral
4.2 It5 Integral Process
4.3 It5 Integral and Gaussian Processes
4.4 ItS's Formula for Brownian Motion
4.5 It5 Processes and Stochastic Differentials
4.6 ItS's Formula for It5 Processes
4.7 It5 Processes in Higher Dimensions
4.8 Exercises
5.Stochastic Differential Equations
5.1 Definition of Stochastic Differential
Equations (SDEs)
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 Stratonovich Stochastic Calculus
5.10 Exercises
6.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 Exercises
7.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 Exercises
8.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 It6'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 Exercises
9.Pure Jump Processes
9.1 Definitions
9.2 Pure Jump Process Filtration
9.3 Ito'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 Generators and Dynkin's Formula
9.8 Explosions in Markov Jump Processes
9.9 Exercises
10.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 Exercises
11.Applications in Finance: Stock and FX Options
11.1 Financial Derivatives 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 Exercises
12.Applications in Finance: Bonds, Rates, and Options
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 Exercises
13.Applications in Biology
13.1 Feller's Branching Diffusion
13.2 Wright-Fisher Diffusion
13.3 Birth-Death Processes
13.4 Growth of Birth-Death Processes
13.5 Extinction, Probability, and Time to Exit
13.6 Processes in Genetics
13.7 Birth-Death Processes in Many Dimensions
13.8 Cancer Models
13.9 Branching Processes
13.10 Stochastic Lotka-Volterra Model
13.11 Exercises
14.Applications in Engineering and Physics
14.1 Filtering
14.2 Random Oscillators
14.3 Exercises
Solutions to Selected Exercises
References
Index
