Download Literature list for Stochastic Analysis

Stochastic Analysis
SS 2015
Peter Imkeller
22. April 2015
Literatur
[1] Steele, J. Michael. Stochastic calculus and financial applications. Applications of Mathematics. 45. New York, NY: Springer (2001).
[2] Kolokoltsov, V.N. Semiclassical analysis for diffusions and stochastic processes.
Lecture Notes in Mathematics. 1724. Berlin: Springer (2000).
[3] Rong, Situ. Reflecting stochastic differential equations with jumps and applications. Chapman and Hall/CRC Research Notes in Mathematics. 408. Boca Raton,
FL (2000).
[4] Huang, Zhi-Yuan; Yan, Jia-An. Introduction to infinite dimensional stochastic
analysis. Mathematics and its Applications (Dordrecht). 502. Dordrecht: Kluwer
Academic Publishers. Beijing: Science Press (2000).
[5] Le Gall, Jean-François. Spatial branching processes, random snakes and partial
differential equations. Lectures in Mathematics, ETH Zürich. Basel: Birkhäuser
(1999).
[6] Melnikov, A.V. Financial markets. Stochastic analysis and the pricing of derivative securities. Transl. from the Russian by H. H. McFaden. Translations of
Mathematical Monographs. 184. Providence, RI: AMS, American Mathematical
Society (1999).
[7] Revuz, Daniel; Yor, Marc Continuous martingales and Brownian motion. 3rd ed. (English) Graduate Texts in Mathematics. 293. Berlin:
Springer (1999).
[8] Klebaner, Fima C. Introduction to stochastic calculus with applications. (English)
London: Imperial College Press (1999).
[9] Mikosch, Thomas Elementary stochastic calculus with finance in view. (English)
Advanced Series on Statistical Science & Applied Probability. 6. Singapore: World
Scientific (1998).
1
[10] Da Prato, Giuseppe Introduction to differential stochastic equations. (English)
Pisa: Scuola Normale Superiore (1998).
[11] Lamberton, Damien; Lapeyre, Bernard Introduction au calcul stochastique applique a la finance. (Introduction to stochastic calculus applied
to finance).2eme ed. (French) Paris: Ellipses. (1997).
[12] Assing, Sigurd; Schmidt, Wolfgang M. Continuous strong Markov processes in
dimension one. (English) Lecture Notes in Mathematics. 1688. Berlin: Springer
(1998).
[13] Bass, Richard F. Diffusions and elliptic operators. (English) Probability and Its
Applications. New York, NY: Springer (1998).
[14] Arnold, Ludwig Random dynamical systems. (English) Springer Monographs in
Mathematics. Berlin: Springer (1998).
[15] Oeksendal, Bernt Stochastic differential equations. An introduction with applications. 5th ed. (English) Universitext. Berlin: Springer (1998).
[16] Kallenberg, Olav Foundations of modern probability. (English) Probability and Its Applications. New York, NY: Springer (1997).
[17] Mao, Xuerong Stochastic differential equations and their applications. (English)
Ellis Horwood Series in Mathematics and its Applications. Chichester: Horwood
Publishing (1997).
[18] Malliavin, Paul Stochastic analysis. (English) Grundlehren der Mathematischen
Wissenschaften. 313. Berlin: Springer (1997).
[19] Kunita, Hiroshi Stochastic flows and stochastic differential equations. (English)
Cambridge Studies in Advanced Mathematics. 24. Cambridge: Cambridge University Press (1997).
[20] Taylor, Michael E. Partial differential equations. 2: Qualitative studies
of linear equations. (English) Applied Mathematical Sciences. 116. New
York, NY: Springer-Verlag (1996).
[21] Durrett, Richard Stochastic calculus. A practical introduction. (English) Probability and Stochastics Series. Boca Raton, FL: CRC Press (1996).
[22] Bass, Richard F. Probabilistic techniques in analysis. (English) New York, NY:
Springer-Verlag (1995).
[23] Stroock, Daniel W. Probability theory: an analytic view. (English) Cambridge:
Cambridge University Press (1993).
[24] Hackenbroch, Wolfgang; Thalmaier, Anton Stochastische Analysis. Eine Einfuehrung in die Theorie der stetigen Semimartingale. (Stochastic analysis. An introduction to the theory of continuous semimartingales). (German) Mathematische
Leitfaeden. Stuttgart: Teubner (1994).
2
[25] Kloeden, Peter E.; Platen, Eckhard; Schurz, Henri Numerical solution of SDE
through computer experiments. Including floppy disk. (English) Universitext. Berlin: Springer-Verlag (1994).
[26] He, Sheng-wu; Wang, Jia-gang; Yan, Jia-an Semimartingale theory and stochastic
calculus. (English) Beijing: Science Press. Boca Raton, FL: CRC Press Inc. (1992).
[27] Kloeden, Peter E.; Platen, Eckhard Numerical solution of stochastic differential equations. (English) Applications of Mathematics. 23. Berlin: Springer-Verlag
(1992).
[28] Karatzas, Ioannis; Shreve, Steven E. Brownian motion and stochastic
calculus. 2nd ed. (English) Graduate Texts in Mathematics, 113. New
York etc.: Springer-Verlag (1991).
[29] Chung, K.L.; Williams, R.J. Introduction to stochastic integration. 2nd ed. (English) Probability and Its Applications. Boston, MA etc.: Birkhaeuser (1990).
[30] von Weizsaecker, Heinrich; Winkler, Gerhard Stochastic integrals. An introduction. (English) Advanced Lectures in Mathematics. Braunschweig etc.: Friedr. Vieweg & Sohn (1990).
[31] Liptser, R.Sh.; Shiryayev, A.N. Theory of martingales. Transl. from the Russian
by K. Dzjaparidze. (English) Mathematics and Its Applications: Soviet Series, 49.
Dordrecht etc.: Kluwer Academic Publishers (1989).
[32] Protter, Philip Stochastic integration and differential equations. A
new approach. (English) Applications of Mathematics, 21. Berlin etc.:
Springer-Verlag (1990).
[33] Ikeda, Nobuyuki; Watanabe, Shinzo Stochastic differential equations and diffusion
processes. 2nd ed. (English) North-Holland Mathematical Library, 24. Amsterdam
etc.: North-Holland; Tokyo: Kodansha Ltd. (1989).
[34] Rogers, L.C.G.; Williams, David Diffusions, Markov processes, and
martingales. Volume 2: Ito calculus. (English) Wiley Series in Probability and Mathematical Statistics. Chichester etc.: John Wiley & Sons
(1987).
[35] Stroock, Daniel W. Lectures on stochastic analysis: diffusion theory. (English)
London Mathematical Society Students Texts, 6. Cambridge etc.: Cambridge University Press (1987).
[36] Durrett, Richard Brownian motion and martingales in analysis. (English) The
Wadsworth Mathematics Series. Belmont, California: Wadsworth Advanced Books
& Software. A Division of Wadsworth, Inc. (1984).
[37] Rao, M.M. Foundations of stochastic analysis. (English) Probability and Mathematical Statistics, New York-London etc.: Academic Press, a Subsidiary of Harcourt Brace Jovanovich, Publishers. (1981).
3
[38] Metivier, Michel; Pellaumail, J. Stochastic integration. (English) Probability and
Mathematical Statistics. New York etc.: Academic Press (A Subsidiary of Harcourt
Brace Jovanovich, Publishers). (1980).
[39] Dellacherie, Claude; Meyer, Paul-Andre Probabilites et potentiel. Chapitres V a VIII: Theorie des martingales. Ed. ent. ref. (French) Actualites scientifiques et industrielles, 1385. Publications de l’Institut de
Mathematique de l’Universite de Strasbourg, Paris: Hermann (1980).
[40] Stroock, Daniel W.; Varadhan, S.R.Srinivasa Multidimensional diffusion processes. (English) Grundlehren der mathematischen Wissenschaften. 233. Berlin, Heidelberg, New York: Springer-Verlag (1979).
[41] Jacod, J. Calcul stochastique et problemes de martingales. (French) Lecture Notes
in Mathematics. 714. Berlin - Heidelberg - New York: Springer-Verlag (1979).
[42] Dellacherie, Claude; Meyer, Paul-Andre Probabilites et potentiel.
Chap. I a IV. Ed. entierement refondue. (French) Publications de
l’Institut de Mathematique de l’Universite de Strasbourg. XV. Actualites scientifiques et industrielles. 1372. Paris: Hermann (1975).
4