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1、StochasticMechanicsStochasticModellingRandomMediaandAppliedProbabilitySignalProcessingandImageSynthesis(Formerly:ApplicationsofMathematics)MathematicalEconomicsandFinanceStochasticOptimizationStochasticControlStochasticModelsinLifeSciences36EditedbyB
2、.RozovskiùõG.GrimmettAdvisoryBoardD.DawsonD.GemanI.KaratzasF.KellyY.LeJanB.¯ksendalG.PapanicolaouE.PardouxMarekMusielaMarekRutkowskiMartingaleMethodsinFinancialModellingSecondEditionAuthorsMarekMusielaMarekRutkowskiBNPParibasTechnicalUniversityWarsza
3、wa10HarewoodAvenueInst.MathematicsLondonNW16AAPl.Politechniki1UK00-661Warszawamarek.musiela@bnpparibas.comPolandmarkrut@alpha.mini.pw.edu.plManagingEditorsB.RozovskiùõG.GrimmettDivisionofAppliedMathematicsCentreforMathematicalSciencesBrownUniversityU
4、niversityofCambridge182GeorgeStWilberforceRoadProvidence,RI02912CambridgeCB30WBUSAUKrozovsky@dam.brown.edug.r.grimmett@statslab.cam.ac.ukCoverillustration:CoverpatterncourtesyofRickDurrett,CornellUniversity,Ithaca,NewYork.ISBN978-3-540-20966-9e-ISBN9
5、78-3-540-26653-2DOI10.1007/978-3-540-26653-2StochasticModellingandAppliedProbabilityISSN0172-4568LibraryofCongressControlNumber:2004114482MathematicsSubjectClassiÞcation(2000):60Hxx,62P05,90A092nded.2005.Corr.3rdprinting2009©2005,1997Springer-VerlagB
6、erlinHeidelbergThisworkissubjecttocopyright.Allrightsarereserved,whetherthewholeorpartofthematerialisconcerned,speciÞcallytherightsoftranslation,reprinting,reuseofillustrations,recitation,broadcasting,reproductiononmicroÞlmorinanyotherway,andstoragei
7、ndatabanks.DuplicationofthispublicationorpartsthereofispermittedonlyundertheprovisionsoftheGermanCopyrightLawofSeptember9,1965,initscurrentversion,andpermissionforusemustalwaysbeobtainedfromSpringer.ViolationsareliabletoprosecutionundertheGermanCopyr
8、ightLaw.Theuseofgeneraldescriptivenames,registerednames,trademarks,etc.inthispublicationdoesnotimply,evenintheabsenceofaspeciÞcstatement,thatsuchnamesareexemptfromtherelevantprotectivelawsandregulationsandthereforefreeforgeneraluse.Coverdesign:WMXDes
