Protter - Stochastic Integration and Differential Equations (2 edition).pdf - Procesy stochastyczne - mofffon

Stochastic Mechanics Applications of

Random Media Mathematics

signal Processing Stochastic Modelling

and Image Synthesis and Applied Probability

Mathematical Economics and Finance

Stochastic Optimization

Stochastic Control

Stochastic Models in Life Sciences

Edited by B. Rozovskii

M. Yor

Advisory Board D. Dawson

D. Geman

G. Grimmett

I. Karatzas

F. Kelly

Y. Le Jan

B. Bksendal

E. Pardoux

G. Papanicolaou

Springer

Berlin

Heidelberg

New York

Hong Kong

London

Milan

Paris

Tokyo

Applications of Mathematics

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2 Marchuk,Methods of Numerical Mathematics ig75,2nd. ed. 1982)

3 Balakrishnan, Applied Functional Analysis (1976,znd. ed. 1981)

4 Borovkov, Stochastic Processesin QueueingTheory (1976)

5 LiptserlShiryaev, Statistics of Random Processes 1: General Theory (1977.2nd. ed. 2001)

6 LiptserlShiryaev, Statistics of Random Processes11: Applications (1978,znd. ed. 2001)

7 Vorob'ev, Game Theory: Lectures for Economists and Systems Scientists (1977)

8 Shiryaev, Optimal Stopping Rules (1978)

g IbragimovlRozanov, Gaussian Random Processes (1978)

lo Wonham, Linear Multivariable Control: A GeometricApproach (1979,znd. ed. 1985)

11 Hida, BrownianMotion (1980)

12 Hestenes, Conjugate Direction Methods in Optimization (1980)

13 Kallianpur,Stochastic Filtering Theory (1980)

14 Krylov, Controlled Diffusion Processes (1980)

15 Prabhu, Stochastic Storage Processes: Queues, Insurance Risk, and Dams (1980)

16 IbragimovlHas'minskii, Statistical Estimation: AsymptoticTheory (1981)

17 Cesari, Optimization: Theory and Applications (1982)

18 Elliott, Stochastic Calculus and Applications (1982)

lg MarchuWShaidourov,DifferenceMethods and Their Extrapolations (1983)

20 Hijab, Stabilization of Control Systems (1986)

21 Protter, Stochastic Integration and Differential Equations (1990,znd. ed. 2003)

22 Benveni~telMCtivierIPriouret, Adaptive Algorithmsand StochasticApproximations(1990)

23 KloedenlPlaten,Numerical Solution of Stochastic Differential Equations

(1992, corr. 3rd printing 1999)

24 KushnerlDupuis, Numerical Methods for Stochastic Control Problems in Continuous

Time (1992)

25 FlemingISoner, Controlled Markov Processes and Viscosity Solutions (1993)

26 BaccellilBrCmaud, Elements of Queueing Theory (1994,znd ed. 2003)

27 Winkler, Image Analysis, Random Fields and DynamicMonte Carlo Methods

(igg5,2nd. ed. 2003)

28 Kalpazidou, Cycle Representations of Markov Processes (1995)

29 ElliotffAggounlMoore, Hidden MarkovModels: Estimation and Control (1995)

30 Hernandez-LermalLasserre, Discrete-Time Markov Control Processes (1995)

31 DevroyelGyorfdLugosi,A Probabilistic Theory of Pattern Recognition (1996)

32 MaitralSudderth, Discrete Gambling and Stochastic Games (1996)

33 EmbrechtslKliippelberglMikosch, ModellingExtremal Events for Insurance and Finance

(1997, corr. 4th printing 2003)

34 Duflo, Random Iterative Models (1997)

35 KushnerlYin, Stochastic ApproximationAlgorithms and Applications (1997)

36 Musiela/Rutkowski,Martingale Methods in Financial Modelling (1997)

37 Yin, continuous-~ime~arkov

chains and Applications (1998)

38 DembolZeitouni,Large Deviations Techniques and Applications(1998)

39 Karatzas, Methods of Mathematical Finance (1998)

40 Fayolle/Iasnogorodski/Malyshev, Random Walks in the Quarter-Plane (1999)

41 AvenlJensen, StochasticModels in Reliability(1999)

42 Hernandez-LermalLasserre, Further Topics on Discrete-Tie Markov Control Processes

(1999)

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and Optimization (2001)

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50 Han, Information-Spectrum Methods in Information Theory (2003)

(continued after index)

Philip E. Protter

Integration

and Differential

Equations

Second Edition

Springer

Stochastic

Author

Philip E. Protter

Cornell University

School of Operations Res. and

Industrial Engineering

Rhodes Hall

14853Ithaca, NY

USA

e-mail:pep4@cornell.edu

Managing Editors

B. Rozovskii M. Yor

Center for Applied Mathematical Universite de Paris VI

Sciences

Laboratoire de ProbabilitCs

University of Southern California

et Modeles Aldatoires

1042 West 36th Place,

175, rue du Chevaleret

Denney Research Building 308

75013 Paris, France

Los Angeles, CA 90089, USA

Mathematics Subject Classification(2000): PRIMARY:

60H05,60H10,60H20

Cover pattern by courtesy of Rick Durrett (Cornell University, Ithaca)

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ISSN 0172-4568

ISBN 3-540-00313-4 Springer-VerlagBerlin Heidelberg New York

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