Stochastic Analysis in Discrete and Continuous Settings: With Normal Martingales: 1982 - Brossura

Privault, Nicolas

Brossura

ISBN 10: 3642023797 ISBN 13: 9783642023798

Casa editrice: Springer, 2009

Riassunto

This unified presentation of stochastic analysis for continuous and discontinuous stochastic processes in both discrete and continuous time is mostly self-contained and accessible to readers who have already received a basic training in probability.

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This volume gives a unified presentation of stochastic analysis for continuous and discontinuous stochastic processes, in both discrete and continuous time. It is mostly self-contained and accessible to graduate students and researchers having already received a basic training in probability. The simultaneous treatment of continuous and jump processes is done in the framework of normal martingales; that includes the Brownian motion and compensated Poisson processes as specific cases. In particular, the basic tools of stochastic analysis (chaos representation, gradient, divergence, integration by parts) are presented in this general setting. Applications are given to functional and deviation inequalities and mathematical finance.

Dettagli dell?edizione

• Editore: Springer
• Data di pubblicazione: 2009
• Lingua: Inglese
• ISBN 10: 3642023797
• ISBN 13: 9783642023798
• Rilegatura: Copertina flessibile
• Numero di pagine: 328
• Contatto del produttore: non disponibile
• Persona responsabile: CMN Printpool Inh. Mathis Neumann; https://www.also.com/ec/cms5/en_6000/6000/index.jsp; ; Friedrich-Karl-Str. 9; Hamburg; Germania