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.
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
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.
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
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Paperback or Softback. Etat : New. Stochastic Analysis in Discrete and Continuous Settings: With Normal Martingales. Book. N° de réf. du vendeur BBS-9783642023798
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Paperback. Etat : New. 2009 ed. 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. N° de réf. du vendeur LU-9783642023798
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paperback. Etat : Gut. 328 Seiten; 9783642023798.3 Gewicht in Gramm: 1. N° de réf. du vendeur 1074614
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