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Stochastic Analysis in Discrete and Continuous Settings: With Normal Martingales: 1982 (Lecture Notes in Mathematics, 1982) - Softcover
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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.
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Stochastic Analysis in Discrete and Continuous Settings : With Normal Martingales
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Stochastic Analysis in Discrete and Continuous Settings: With Normal Martingales (Lecture Notes in Mathematics, 1982)
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Stochastic Analysis in Discrete and Continuous Settings: With Normal Martingales (Lecture Notes in Mathematics, 1982)
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Stochastic Analysis in Discrete and Continuous Settings
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Springer Berlin Heidelberg, 2009
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Kartoniert / Broschiert. Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. This monograph is an introduction to some aspects of stochastic analysis in the framework of normal martingales, in both discrete and continuous time. The text is mostly self-contained, except for Section 5.7 that requires some background in geometry, and s. Seller Inventory # 5043670
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Stochastic Analysis in Discrete and Continuous Settings: With Normal Martingales (Lecture Notes in Mathematics, 1982)
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