Articles liés à Martingales and Stochastic Integrals

Martingales and Stochastic Integrals - Couverture souple

Kopp, P. E.

 
9780521090339: Martingales and Stochastic Integrals
Couverture souple
ISBN 10 : 0521090334 ISBN 13 : 9780521090339
Editeur : Cambridge University Press, 2009

Synopsis

This book provides an introduction to the rapidly expanding theory of stochastic integration and martingales. The treatment is close to that developed by the French school of probabilists, but is more elementary than other texts. The presentation is abstract, but largely self-contained and Dr Kopp makes fewer demands on the reader's background in probability theory than is usual. He gives a fairly full discussion of the measure theory and functional analysis needed for martingale theory, and describes the role of Brownian motion and the Poisson process as paradigm examples in the construction of abstract stochastic integrals. An appendix provides the reader with a glimpse of very recent developments in non-commutative integration theory which are of considerable importance in quantum mechanics. Thus equipped, the reader will have the necessary background to understand research in stochastic analysis. As a textbook, this account will be ideally suited to beginning graduate students in probability theory, and indeed it has evolved from such courses given at Hull University. It should also be of interest to pure mathematicians looking for a careful, yet concise introduction to martingale theory, and to physicists, engineers and economists who are finding that applications to their disciplines are becoming increasingly important.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

This book provides an introduction to the rapidly expanding theory of stochastic integration and martingales. The treatment is close to that developed by the French school of probabilists, but is more elementary than other texts. The presentation is abstract, but largely self-contained and Dr Kopp makes fewer demands on the reader's background in probability theory than is usual. He gives a fairly full discussion of the measure theory and functional analysis needed for martingale theory, and describes the role of Brownian motion and the Poisson process as paradigm examples in the construction of abstract stochastic integrals. An appendix provides the reader with a glimpse of very recent developments in non-commutative integration theory which are of considerable importance in quantum mechanics. Thus equipped, the reader will have the necessary background to understand research in stochastic analysis. As a textbook, this account will be ideally suited to beginning graduate students in probability theory, and indeed it has evolved from such courses given at Hull University. It should also be of interest to pure mathematicians looking for a careful, yet concise introduction to martingale theory, and to physicists, engineers and economists who are finding that applications to their disciplines are becoming increasingly important.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Cambridge University Press
Date d'édition
2009
Langue
anglais
ISBN 10 
0521090334
ISBN 13 
9780521090339
Reliure
Broché
Numéro d'édition
1
Nombre de pages
216
Coordonnées du fabricant
non disponible
Personne responsable
Avery
https://www.avery.fr/

chemin des peupliers 27
Dardilly
France