H****h
发帖数: 1037 | 1 世界图书出版公司出版的英文书
Stochastic Differential Equations
Bernt Oksendal
看看是否能适合你。
另外好象没有基于泊松过程的推导。
一般都是从布朗运动Brownian motion
或连续鞅continuous martingale出发。 | f******k
发帖数: 297 | 2 check out Oksendal's book, it is pretty easy to begin with.
or if you want to avoid discussion of predictive process,
check out Protter's book.
for Poisson process, if you are talking about Poisson process
driven SDE, then almost all books include this, since most of
books based on martingale to define stochastic calculus, and it's
just natural extention to include process with jumps like Poisson
process. |
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